Post-LIBOR Settle Update: 3M Inches Higher

Lead quarterly EDM2 holding at 98.15 (+0.010) after latest 3M LIBOR set' inches to new 2-year high of 1.23886% (+0.00072), up +0.02515 for the week. Balance of Whites (EDU2-EDH3) trade +0.005-0.010 higher, Reds (EDM3-EDH4) gain +0.010-0.020, Greens-Golds (EDM4-EDH7) steady to -0.010 lower.

• Inversion holding in front Reds: Red Sep (EDU3) currently trading 96.705 vs. Red Jun (EDM3) at 96.635 -- low measure of confidence in forward policy and/or Fed managing a soft landing/avoiding recession has been priced in for months. Levels start to flatten out (dis-invert) around late Blue Mar'26/Gold Jun'26 trading around 97.12.
• Tuesday derivatives roundup: FI option theme pivoted to better put buying Tuesday. Eurodollar and Tsy futures surged in early trade, scaled back support in the second half, some put buyers looking for the primary downtrend to resume.
  • That said, short end support remained robust as market tamps down on market pricing in chances of 75bp hike(s), back to pricing in nearly five 50bp hikes over the next six meetings.
  • Salient Eurodollar trade included a buyer of +15,000 Sep 96.25 puts, 6.5 screen/pit in the second half. Early limited downside put fly trade included a block buy of 5,000 Jun 98.00/98.12/98.25 put flys, 2.5, buy of 4,000 short May 96.25/96.37/96.50 put flys.