US TSYS: Late SOFR/Treasury Option Roundup

See link below for a rough transcript of Fed Chair Kevin Warsh's September press conference (PDF) - unedited, check against delivery:

Fed2026septembertranscript.pdf

• With a particularly short press conference by Fed Chair Warsh concluded, US rates losses have extended the SEP-driven sell-off, with much of the presser price action coming early on but a further leg coming towards the end.
• OIS prices 14bp of hikes for the October FOMC meeting vs 10bp pre-Warsh and circa 8bp pre-decision (table below shows Fed Funds futures which are still somewhat lagged).
• SFRM7 leads losses seen since the initial FOMC decision, currently 17.5 ticks lower (7.5 on the SEP, 10 since Warsh) for 10.5 ticks lower on the day – see charts.
• The terminal yield has punched through yesterday’s latest cycle high of 4.685% to 4.735%.
• The moves drive sizeable flattening in Treasury curves, with 2s10s 7bp flatter since the FOMC decision and 5s30s 8bp flatter.
• Early moves came as Warsh repeated his Jackson Hole line that he would be hard pressed to describe broad financial conditions as restrictive - and said that view was widely shared on the Committee, which is why they took action by removing a "dose" of accommodation.
• "The plain fact is that inflation is too high, and has been for too long." He says this summer's inflation readings "do not tell me that underlying trends have meaningfully improved", with core PCE running at "about 3.2%" and "too many categories" still rising above 3% on both 6- and 12-month rates.

• +6,000 TUZ6 101-30, post time offer at 1501:00ET, DV01 $234,000.
• The 2Y contract has since traded down to 101-29 (-4)