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Post LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly EDU1 and EDZ1 gain slightly after latest 3M LIBOR settle -0.00237 to 0.12838% (+0.00413/wk). Otherwise, balance of Whites holding steady after Thursday's massive selling: Over 350,000 EDZ1 sold from 99.81 to 99.79 (-0.020-0.030) and appr -50,000 EDU1 from 99.87 to .865 in second half. Note: EDZ1 open interest +130,913 on total volume of 687,710. Levels trading mildly higher out the strip:

  • Sep 21 +0.005 at 99.870
  • Dec 21 +0.005 at 99.805
  • Mar 22 steady at 99.840
  • Jun 22 steady at 99.80
  • Red Pack (Sep 22-Jun 23) +0.005 to +0.010
  • Green Pack (Sep 23-Jun 24) +0.015 to +0.020
  • Blue Pack (Sep 24-Jun 25) +0.015
  • Gold Pack (Sep 25-Jun 26) +0.015 to +0.020

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