EURIBOR OPTIONS: Put Calendar Spread
ERH6/J6 97.87p calendar spread, sold the April at 1.5 in 5.5k....
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STIR: Fed Rates Mostly Still Reflect Soft Weekly ADP
- Fed Funds implied rates have pared most of yesterday’s reaction to soft weekly ADP data specifically for next month's FOMC meeting, although the dovish impact is held further out.
- Cumulative cuts from 3.87% effective: 15.5bp Dec, 26bp Jan, 37bp Mar, 44bp Apr and 58bp Jun.
- Some notable earlier Fed Funds flow: FFF6/G6 paper paid -9.5 on 22.5K, ~24K trades there all day.
- SOFR futures are 1-2 ticks lower on the day, with the implied yield at
- The SOFR implied terminal yield of 3.08% (H7, -1.5bp) holds a sizeable pullback from last week’s multi-month high of 3.16% prior to a softening in a succession of lower tier labor releases.
US TSY FUTURES: Net Long Setting Most Prominent After Weekly ADP
OI data points to net long setting (TU, FV, TY, US & WN) dominating more modest instances of net short cover (UXY) as Tsy futures rallied in the wake of the soft weekly ADP employment data on Tuesday.
- Still, limited net OI swings may point to low conviction given the lack of market familiarity with the weekly readings and questions surrounding crossover with official labour market data..
| 11-Nov-25 | 10-Nov-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,642,944 | 4,628,965 | +13,979 | +523,673 |
FV | 6,928,004 | 6,904,085 | +23,919 | +1,026,220 |
TY | 5,427,595 | 5,421,361 | +6,234 | +417,163 |
UXY | 2,499,406 | 2,501,417 | -2,011 | -180,794 |
US | 1,853,883 | 1,850,407 | +3,476 | +443,286 |
WN | 2,170,561 | 2,167,018 | +3,543 | +663,085 |
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| Total | +49,140 | +2,892,633 |
FED: Today’s Fedspeak Likely More Notable On Balance Sheet Discussions
Today sees six different scheduled FOMC speakers, even if we expect the main interesting comments from a traditional monetary policy angle to come Collins late on. Speaking focus instead is likely on balance sheet considerations, first with NY Fed’s Williams before NY Fed SOMA Manager Perli, seen in light of funding pressures last month as reserves have moved closer to ample.
- 0920ET – NY Fed’s Williams (voter) keynote speech at Treasury Market Conference (text only). He said on Friday that it won’t be long before reserves are ample at which point the Fed will begin gradual purchases of assets to maintain growth in liabilities. As for the rate outlook, he repeated that the natural interest rate is hard to pin down but he still thinks a low r* era is still with us.
- 1000ET – Paulson (’26) at fintech conference (text only). The topic could limit mon pol discussion although she indicated ahead of the Oct 29 FOMC decision that she’s in-line with the median FOMC voter looking for another cut in December.
- 1020ET – Gov. Waller (voter) on payments at fintech conference (no text). Again, unlikely to meaningfully touch on mon pol and he’s clearly in the camp for another cut in December.
- 1215ET – Bostic (non-voter) at Atlanta Economics Club (text + Q&A). He "eventually got behind" last month’s cut but finds it preferable to move slower when there's so little clarity.
- 1230ET – Miran (voter) in fireside chat (no text). The outright dove on the FOMC with two dissents for 50bp cuts in both Sept and Oct meetings, he continues to call for a 50bp cut next month as well.
- 1600ET – Collins (’25) at community banking conference (text only). These could be her first mon pol comments since the Oct FOMC decision, having said beforehand that perhaps another 25bp of easing might be appropriate. That of course was delivered last month which could see in a December pause camp.
- Outside of those FOMC speakers, we also note that Roberto Perli (NY Fed SOMA Manager) will give closing remarks at the Treasury Market Conference today at 1550ET, with the 20min slot allowing reasonable detail.
