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Post-LIBOR Settle Update, New 3M High

US EURODLR FUTURES

Risk-off as Russia invades Ukraine the main narrative today, FI markets broadly higher. Lead quarterly EDH2 trading +0.050 at 99.375 -- irrespective of latest 3M LIBOR set' climbs +0.01029 to 0.50786% (+0.02829/wk) -- new high last seen around May 2020 as benchmark climbs +0.2829 total for the week.

  • Balance of Whites (EDM2-EDZ2, +0.100-0.120) through Golds (EDH6-EDZ6, +0.095-0.110) trading stronger but are currently 0.045-0.055 off overnight highs.
  • Market pricing liftoff -- secondary concern with focus on Ukraine invasion, but risk-off rally has pushed chances of 50bp rate hike at the March 16 FOMC down to appr 12%. Pricing of additional hikes in Reds tempered as well.
  • Policy uncertainty: Red Sep'23-Dec'23 at 97.765 trading trading inverted vs. Green Mar'24 by 0.060.
  • Option positioning: Active accts still holding large downside put positions in various quarterly expiries/strikes from Jun'22 through Dec'22. Expect call skew to surge on rise of low delta call buying.

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