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Post-LIBOR Settle Update, 3M Recedes, 50Bp Liftoff Odds Cool

US EURODLR FUTURES

Lead quarterly EDH2 holding firmer, +0.020 to 99.3525 after latest 3M LIBOR set'

recedes -0.00714 to 0.48100%, -0.02543 total on wk.

  • Balance of Whites (EDM2-EDZ2) +0.035, while Reds (EDH3-EDZ3) through Golds (EDH6-EDZ6) trade +0.040-0.050.
  • Is scheduling of StL Fed Bullard correlated to chances of 50bp liftoff chances in March? Market pricing more aggressive rate hike expectations cooling as Bullard discussed policy outlook again today at 1100ET at Columbia University (no text, but will field Q&A with audience and media).
  • StL Fed Bullard had doubled down/reprised his hawkish policy stance Monday morning. Mar pricing in less than 10% chance of 50bp liftoff next month, well off 100% early Monday.
  • Inversion implying market's policy uncertainty: Green March'24 at 97.76 trading 0.045 over Red Dec'23.
  • Option trade remains mixed with call volume rising: over 400k calls traded between Mar-Jun expiries Wednesday, OI +149k.
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