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Late SOFR/Eurodollar/Treasury Options Roundup

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Key Resistance Exposed

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Late Corporate Credit Update

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Continued Pivot

US EURODLR FUTURES
  • Eurodollars have pulled back off session (and in the case of the red pack onwards post Sep FOMC) highs but still see further solid gains across the curve.
    BAZ2 sits +0.05 as Fed rate expectations for the final two meetings of the year remain relatively resilient with Fed Funds showing a cumulative 112bp of hikes to 4.2% by year-end.
  • Longer-term rate expectations continue to pivot lower, with >0.10 increases from Mar’24 contracts and beyond, driving a modest rewidening of inversion with -0.35 for EDZ2/EDZ3 before an accelerated -0.59 for EDZ3/EDZ4.
  • Logan, Williams and Mester to speak ahead of 1000ET data although first two are non-text opening remarks.

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  • Eurodollars have pulled back off session (and in the case of the red pack onwards post Sep FOMC) highs but still see further solid gains across the curve.
    BAZ2 sits +0.05 as Fed rate expectations for the final two meetings of the year remain relatively resilient with Fed Funds showing a cumulative 112bp of hikes to 4.2% by year-end.
  • Longer-term rate expectations continue to pivot lower, with >0.10 increases from Mar’24 contracts and beyond, driving a modest rewidening of inversion with -0.35 for EDZ2/EDZ3 before an accelerated -0.59 for EDZ3/EDZ4.
  • Logan, Williams and Mester to speak ahead of 1000ET data although first two are non-text opening remarks.