Treasury puts for FOMC and tech earnings
April 29, 2026
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–Dominant factors on Tuesday were OpenAI warnings that sales might not grow fast enough to meet costs. (And Musk now suing OpenAI) Additionally, CLM6 (WTI) rose above $100/bbl. and the sentiment in bonds has shifted more towards the idea of inflation rather than slower growth as a result. CLM6 settled 99.93, new high settle for this contract month, and is currently 103.48 (early Wed morning).
–As has been mentioned recently, the sentiment shift is quite apparent on the SOFR futures strip. The peak contract is SFRH8 which is now 9648.5 (settle). So, there is little priced in for possible easing as the first 4 contracts settled 9633.5 to 9635 – which are tied to the current funding rate. Worth mention is a buy of 35k 0QM6 9600p for 5.0, delta neutral (0.18) covered 9634 to 9635.5. Settled 5 vs 9635.5 in SFRM7. That strike is 36 bps above current EFFR of 3.64%.
–Also worth repeating is that JGB, Gilts and Bunds are at or near new yield highs. 10y bund this morning right at the high of move, 3.09% and UK 10y gilt has blown through the high, now 5.03%. The Sept 2022 high associated with the Liz Truss moment was 4.50%. Good times.
–Paul Tudor Jones warned of historic overvaluation of US equities: “We’re clearly so leveraged in equities in this country. We’re 252% of stock market cap to GDP. In 1929, we were at 65%. In 1987, about 85%. In 2000, we got to 170%. And now we’re at 252.”
–A couple of treasury put trades worth noting: new buy 33k TY THUR110.5p for 5 (5s ref 110-27+). On Monday he bought 50k TY THUR 110.75p (10s). Also, +50k FV THUR 107.75p for 5. These all expire tomorrow. Today we have the FOMC and tech earnings. Tomorrow morning PCE prices. Enough to cause a gamma event if these strikes go in the money? TY futures open interest is 5.4 million but a downside panic can’t be ruled out.
–META, AMZN, GOOGL, and MSFT report today. From BBG: Big techs representing about a quarter of the S&P 500’s value are set to release their earnings, with any misstep involving AI-related demand or capital budget expenditures potentially giving the market second thoughts.
