AMERICAS OIL: Q4 GDP Tracking Slips Under 5% As Net Export Contribution Dives

With few exceptions, SOFR & Treasury options revolved around downside puts Tuesday, vol sales just ahead the Dec FOMC minutes release. Underlying futures mostly short end outperforming while projected rate cut pricing firms slightly vs. early morning levels (*): Jan'26 at -3.9bp, Mar'26 at -14bp (-13.6bp), Apr'26 at -20.9bp (-20.5bp), Jun'26 at -35.1bp (-34.4bp).

• SOFR Options:
  • +4,000 SFRG6 96.31/96.37/96.43 put trees, 2.25 vs. 96.48/0.05%
  • -1,000 SFRU6/SFRZ6/SFRH7/SFRM7 95.00 put strip, 6.0 total
  • -2,000 0QH6 96.93 straddlers, 28.0 ref 96.925
  • -1,000 0QF6 96.93 straddles, 14.0 ref 96.925
  • +20,000 0QZ6 97.50/98.00 call spds, from 5.75 to 6.0 ref 96.78
  • -5,000 SFRU6 96.25/96.75 3x1 put spds, 9.0 net ref 96.87
  • +1,500 SFRZ6 96.25/96.87/97.25 put flys 5.25 ref 96.92
  • -2,000 0QF6 96.87/97.00/97.12/97.25 call condors, 4.25
  • -4,000 SFRH7 96.75 puts, 23.5 ref 96.895
  • -2,000 SFRM6 98.00 calls, 2.0 vs. 96.735/0.04%
  • +3,000 0QF6 97.50 calls, 0.25 ref 96.905
  • 4,600 SFRF6 97.00 calls
• Treasury Options:
  • 1,500 Mon wkly TY 112/112.25 3x2 put spds, 3 net ref 112-18.5 (exp 1/5)
  • 4,800 wk2 US 114/114.5 put spds, 3 net ref 115-17 (exp 1/9)
  • +1,000 TYG6 111.5/112/112.5 put trees, 6 vs. 112-16.5/0.05%
  • -1,000 TYG6 113 calls, 23 vs. 112-24.5/0.42%
  • 1,900 TUG6 104.37 puts ref 104-13.12
  • +1,250 TYG6 111/112 put spd vs. 114 calls, 4 net vs. 112-30.5/0.05%
  • +5,000 TYH6 111/112 put spd vs. 114 calls 3cr net
  • -1,000 FVG6 108.5 puts, 2.5

The BLS on Tuesday published a Q&A on the October/November CPI release, explaining various controversial choices and outlining its approach to future inflation data points that were impacted by the lack of October data collection and the late collection period in November due to the federal government shutdown. Link here

• The main subject addressed by the BLS is its use of "carry-forward" imputation for October's figures. BLS confirms what most analysts had already assumed, though sounds quite defensive in its explanation, particularly regarding shelter prices: "BLS viewed retroactively collecting data for October as both costly and potentially inaccurate, especially since the CPI surveys are not based on respondent recall. For rents in particular, BLS collects data for an entirely different sample each month. BLS does not have data collection resources to collect 2 months of data in 2 weeks. Extending data collection for the October reference month through the end of November would have further delayed processing and release of November indexes and releases for subsequent months. In keeping with its mission, BLS publishes estimates as quickly as possible after the reference month. By using known and documented statistical methods, BLS was able to release November indexes within 10 days of the originally planned release date and is on schedule to release December data on the original timeline of January 13, 2026."
• They note that this was largely following protocol: "For October 2025, BLS used the existing, documented imputation algorithm in calculating the CPI. BLS did not deviate from existing, adopted methodology as described in the BLS Handbook of Methods for the CPI. Imputation is a hierarchical process for both uncollected prices in the Commodities and Services Pricing Survey and uncollected rents in the Housing Survey."
• And they also say that any changes to its protocol would have been impractical: "There are several reasons for using carry-forward rather than an alternative method such as a trend-adjusted naïve forecast, an interpolation method, or any other time-series or cross-sectional econometric model. First, BLS did not want to intervene and superimpose last minute, unvetted judgment into the process, as this could have been perceived as manipulating the data unscientifically. Second, BLS information technology was built and rigorously tested for the hierarchical imputation algorithm. Logistically, even if there were consensus agreement on an alternative imputation-of-last-resort method, BLS could not have written requirements, modified the systems, tested, and certified the changes in a timely fashion; that would have further delayed the release of the November 2025 CPI and subsequent releases considerably. Third, vetting a proposed alternative imputation method and gaining endorsement would take considerable time. A methodological change of that magnitude would require publication in the Federal Register and a public comment period prior to adoption. "
• They also acknowledge what is widely assumed about the potential underestimation (or indeed, overestimation) of inflationary pressures in using carry-forward imputation, given the broader upward trend in prices: "Carry-forward imputation has specific effects depending on market conditions: In periods of general price increases, the carry-forward method may result in an underestimation; In periods of general price decreases, it may result in an overestimation; When most prices are not changing and some are rising and some are falling, the method reflects the majority behavior for uncollected items." 

• Major US equity indexes remain weaker in late Tuesday trade, still holding inside relatively narrow ranges as markets after the FOMC minutes release. Currently, the DJIA trades down 71.46 points (-0.15%) at 48393.76, S&P E-Mini Futures down 5 points (-0.07%) at 6950.25, Nasdaq down 24.2 points (-0.1%) at 23449.63.
• Thin holiday market participation exacerbated moves somewhat as Financials and Consumer Discretionary sector shares led declines in the second half, investment management shares weighed on the Financials sector: Ares Management -2.86%, Franklin Resources -1.95%, KeyCorp -1.07% and State Street Corp -1.06%..
• Williams-Sonoma -2.40%, eBay -0.98%, Wynn Resorts -0.90% and Las Vegas Sands -0.72%. weighed on the Discretionary sector.
• On the positive side, Energy and Communication Services led advances in the first half: Occidental Petroleum +2.72%, Halliburton +2.08%, Diamondback Energy +2.03% and SLB Ltd +1.91% buoyed the Energy sector. Meanwhile, Meta Platforms +1.33%, News Corp  +0.87%, Take-Two Interactive Software +0.82% and Walt Disney +0.77%.