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Mar'23 Puts Brings Up Question Re: End of LIBOR

US EURODLR OPTIONS
  • +12,000 EDH3 94.12 puts, 1.25 red 94.92 - new position w/ open interest 0 coming into the session.
  • This brings up the question, what about Eurodollar futures and options when LIBOR ceases to exist on June 30, 2023? (1, 3, 6 and 12 months USD LIBOR settings will cease immediately following the LIBOR publication on Friday, June 30, 2023).
  • If positions are not rolled to corresponding SOFR contracts/options, the CME will convert to corresponding SOFR contracts on April 14, 2023.
  • CME Three-Month SOFR futures (SR3) contracts with a price adjustment of 26.161bp (the fixed ISDA Fallback Spread Adjustment for 3M USD LIBOR) to the latest Eurodollar (ED) futures daily settlement price.
  • Caveat: April 2023, May 2023 and June 2023 Eurodollar futures, and associated options will be excluded from the conversion and will continue to be available for trading until expiration.

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