Run for cover
June 12,, 2025
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–Early in session…post-CPI but pre-10y auction, over 13k TYZ5 108p sold 52 to 51 cov 110-16+ with 28 delta. (Settled 50 vs 110-20). Coming into the day there was only about 7k open across all TYZ puts. 2.5 points otm put is ~ 35 bps…so strike is right around the year’s high set in January of 4.80%. The low in the front TY contract at that time, on Jan 13, was 107-06.
–CPI was lower than expected 0.1 on the month, 2.4% yoy. Solid 10y auction: 4.43% near cut-off with actual at 4.421% and 3pm mark at 4.412% (once again gravitating towards current EFFR of 4.33%). On the day, 10y yield down 6 bps, and 30s down 3bps to 4.907% in front of today’s auction. Open interest across all treasury futures up, with significant rises in FV (+39k), TY (+32.6k) and UXY (+18k) suggesting a bid for safety. Gold is reflecting the same: GCQ5 is +41.7 this morning at 3385.40.
–Later in the day oil ran to over +$3 bbl as US evacuated personnel from US embassies in the Mideast over concerns of an Israeli attack on Iran. CLN5 +3.17 with 68.15s. Stocks slid lower, with ESM5 settling -16 at 6029.0, down over 45 from the day’s high.
–SFRM5 up 1 bps to settle right at strike going into tomorrow’s option expiration, 9568.75. The peak SFR contract is Z6 almost exactly 100 higher at 9668.5 (+7.5). On Wed I mentioned that 0QM 9650^ settled 10.25 ref 9646.5. Yesterday settled 7.5 vs 9654. This morning M6 prints 9656.5.
