US TSY FUTURES: Positions Built Across The Curve On Thursday

• Fed Funds implied rates are 0.5-1.5bp higher for meetings out to end-2026, having now fully reversed a modest dovish reaction to yesterday’s NFP report with its multiple caveats.
• Cumulative cuts from 3.64% effective: 5bp Jan, 13.5bp Mar, 20bp Apr, 33bp Jun, 49.5bp Sep and 57bp Dec.
• SOFR futures are up to 4 ticks lower out to end-2027, with the implied terminal yield of 3.125% (Z6) 4bps higher but still within recent ranges.
• CPI looms large tomorrow but in the interim today’s docket is likely headlined by Fed Governor Waller’s appearance for his take on the payrolls report. He has seen some renewed interest in betting markets for next Fed chair although at 16% still lags Warsh (24%) and particularly Hassett (56%) – all from Polymarket. Hassett’s odds have seen little adverse impact from Politico yesterday citing three Trump officials raising doubts about Hassett for the role, with some pushback already noted elsewhere.
  • 0815ET – Gov. Waller (voter) speaks on the economic outlook (no text). He has for a while now been one of the more dovish FOMC members, calling for cuts to get ahead of labor market weakness. It will be interesting to hear his views ahead of the January meeting, one that he last month described as “tricky” with a flood of incoming data and the need for a meeting-by-meeting approach.
  • 0905ET – NY Fed Williams (voter) opening remarks (no text). Whilst having a notable impact after last month’s payrolls report with his unusual guidance in favor of a Dec cut, the opening remarks with no text at a FX market structure conference could limit mon pol discussions.
  • 1230ET – Bostic (non-voter, retiring Feb) in moderated discussion (no text). He yesterday said he would have preferred to have held rates unchanged this month and didn’t pencil in any cuts for 2026, indicating he is one of just three participants who saw rates unchanged vs pre-December cut levels (of note from a composition basis with him shortly stepping down). 

• In FX, a bull cycle in EURUSD remains intact, however, a short-term reversal signal has appeared on the daily chart. Tuesday’s candle pattern is a shooting star candle formation. If correct, this suggests scope for a pullback near-term. A correction would allow an overbought trend condition to unwind. The first important support lies at 1.1658, the 20-day EMA. Key short-term resistance has been defined at 1.1804, the Dec 16 high.
• A bull cycle in GBPUSD remains intact and for now, today’s sell-off is considered corrective. A fresh cycle high on Tuesday reinforces the bull theme. Attention is on 1.3452 (pierced), 61.8% of the Sep 17 - Nov 4 bear leg. A clear break of this hurdle would strengthen a bull theme and open 1.3527, the Oct 1 high. Initial firm support is 1.3290, the 50-day EMA. A breach of this EMA would highlight a possible reversal.
• The latest pullback in USDJPY appears corrective. The trend condition remains bullish and this is highlighted by moving average studies that are in a bull-mode position. Support to watch lies at 154.03, the 50-day EMA. A clear breach of this average would undermine the bull theme and signal scope for a deeper corrective pullback. For bulls, a resumption of gains would open 158.00.

• CBK (18/06/27 vs 16/06/28) 20p, trades 1.23 for the 2028 in 200k.

There is 288k OI in that 2027 strike, so could be rolling that put further out.