Post-LIBOR Settle Update, New 3M High

Lead quarterly EDH2 trading -0.040 at 99.3425 -- holding near overnight lows even before latest 3M LIBOR set' gain of +0.01514 to 0.52300% -- new high last seen around early May 2020 after benchmark climbs +0.4343 total for the week.

• Eurodollar futures strip (Tsy futures as well) continue to unwind Thu's risk-off support tied to Russia invasion of Ukraine. Opinions vary on rates receding late Thursday: sanctions less severe than could be (disagreement over preventing access to SWIFT banking system), and/or cost to sanctioning countries less of a drag, while coordinated sanctions take time to have an effect. US Pres Biden assuring US troops would not be sent to Ukraine also calmed markets somewhat (though appr 7,000 additional troops being sent to Germany).
• Balance of Whites (EDM2-EDZ2, -0.060) through Reds (EDH3-EDZ3, -0.055-0.035) reverses Thu's net move by the close.
• Brings market back to debating over 50Bp hike in March or not -- had slipped below 20% Thu -- back near 50% at moment with Reds adjusting to additional hikes priced in late Wed. Policy uncertainty: Red Sep'23-Dec'23 at 97.765 remains 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. Limited unwinds Thu while call positioning was modest.