FED: Waller Had A “Strong” Fed Chair Interview But Little Reaction

The latest Tsy quarterly futures roll volumes for December'25 to March'26 outlined below. Percentage complete still in the single digits ahead the "First Notice" date of Friday, November 28. Current roll details:

• TUZ5/TUH6 appr 13,400 from -5.88 to -5.62, -5.88 last; 5% complete
• FVZ5/FVH6 appr 172,500 from -2.75 to -2.25, -2.75 last; 11% complete
• TYZ5/TYH6 appr 29,200 from 1.5 to 2.0, 1.75 last; 12% complete
• UXYZ5/UXYH6 5,000 from 5.25 to 5.5, 5.25 last; 5% complete
• USZ5/USH6 3,600 from 13.0 to 13.75, 13.25 last; 8% complete
• WNZ5/WNH6 appr 3,300 from 9.75 to 10.25, 10.0 last; 6% complete
• Reminder, Dec'25 futures don't expire until next month: 10s, 30s and Ultras on December 19, 2s and 5s on December 31. Meanwhile, Dec'25 Tsy options will expire this Friday, November 21

The implied probability of another ECB cut this cycle has pulled back since the ECB’s October decision. OIS markets now price just 9bps of easing through September 2026 (vs ~12bps before the October decision). A combination of resilient growth signals and fairly cautious ECBspeak have factored into recent repricing, even with some Governing Council members still cognizant of downside inflation risks in the medium term. 

The introduction of the EU’s ETS2 carbon pricing scheme is likely to be delayed by a year to 2028. This is expected to mechanically pull down the ECB’s 2027 inflation projection by ~0.3pp, deepening the expected undershoot of the 2% target, but policymakers have warned against relying too much on these dynamics for calibrating near-term policy. 

Taking into account commentary since the October decision, we’ve made a few tweaks to our ECB hawk/dove matrix. See the full report for more

SFIM6 96.70c vs SFIH6 96.55c, sold the June at 4.25 in 5k.