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Implied Rates In Reds and Greens Moving Higher

US EURODLR FUTURES
  • Eurodollars have pulled back with today’s broader risk-on environment as higher rates are priced in, primarily in reds and greens.
  • The Dec’23 contract has dipped 5.5 ticks to 98.420, crudely implying 136bps of tightening.
  • It has dipped through the 98.435 briefly touched after Waller’s hawkish comments on Friday as it moves towards the middle of the post-Omicron range of 98.555 (Nov 30 high) and 98.245 (Dec 10 low).
  • The Dec’22 is little changed in comparison, -2 ticks at 98.985.
  • With no Fed speak scheduled ahead of Christmas, further drivers seem most likely to be new Omicron headlines, especially with Biden talking on developments at 1430ET today. The PCE deflator could also be market moving on Thu.

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