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Brief Entertaining Of An Intermeeting Fed Hike

STIR FUTURES
  • The FFQ2 implied yield at one point squeezed 2.5bp higher earlier in a soft probing of the chance of an intermeeting hike, with most of the move coming post-1100ET.
  • It’s since retraced a good chunk of the move at +1.25bp on the day. Timiraos’ post-payrolls piece ({NSN RG5G0L0799MO <GO>}) hitting the wires at 1150ET potentially helping as it didn’t appear consistent with such a move - the jobs report “will make it harder for the Fed to dial back the pace of rate increases at its meeting next month”.
  • Unless a play on an almost unprecedented upside surprise at Wednesday’s CPI, it’s unclear how such a sequence would work ahead of the Sep 21 FOMC with plenty of data/events still to come.

FFQ2 contractSource: Bloomberg


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  • The FFQ2 implied yield at one point squeezed 2.5bp higher earlier in a soft probing of the chance of an intermeeting hike, with most of the move coming post-1100ET.
  • It’s since retraced a good chunk of the move at +1.25bp on the day. Timiraos’ post-payrolls piece ({NSN RG5G0L0799MO <GO>}) hitting the wires at 1150ET potentially helping as it didn’t appear consistent with such a move - the jobs report “will make it harder for the Fed to dial back the pace of rate increases at its meeting next month”.
  • Unless a play on an almost unprecedented upside surprise at Wednesday’s CPI, it’s unclear how such a sequence would work ahead of the Sep 21 FOMC with plenty of data/events still to come.

FFQ2 contractSource: Bloomberg