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Lower Ahead Of The Fed Tomorrow

US EURODLR FUTURES
  • Eurodollars have edged lower today after a delayed reaction to stronger-than-expected PPI inflation.
  • The move on the day has been largest 1-1.5yrs out, with the Mar’23, Dec’22 and Jun’23 contracts down 3-3.5 ticks. Volumes have been clearly heaviest for the Z2s.
  • At one point they were down 5 ticks post-PPI but there has been a partial retracement on a broader risk-off environment.
  • EDZ2 remains well within the 12-tick range it’s traded in ever since Powell hinted at retiring the word transitory and pushing ahead with accelerating taper.
  • EDZ2 -0.030 at 99.00 (an implied 1.000%), EDZ3 -0.010 at 98.375 (1.625%) and EDZ4 at -0.010 at 98.270 (1.730%).
  • Further out, the EDZ4-EDM6 spread is unchanged on the day and remains slightly inverted at -0.01 (albeit on low volumes), as it has been for the past week or so.
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