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Post-LIBOR Settle Update

US EURODLR FUTURES

Lead quarterly EDH2 bounced off lows to 99.325 (-0.0025) immediately after latest 3M LIBOR set' falls -0.01871 to 0.50429% (benchmark had climbed +0.4343 total last week to 0.52300% highest lvl since early May 2020).

  • Renewed selling has EDH2 trading -0.020 at 99.3075 on heavy overnight volumes (EDH2>160k) following volatile, near 0.100 range overnight.
  • Russia/Ukraine crisis escalates: risk-off/safe haven buying across FI mkts saw EDH2 gap bid/open 99.365 (+0.0375). Lead reversed course over next couple hours to 99.27L (-0.0575) -- rebounding to 99.295 +/-0.005 through midmorning London trade.
  • Lead quarterly focus turned to monetary policy (probability of 0.50 liftoff see-sawing from <10%-50%. Meanwhile, balance of strip trading broadly higher but well off top end of overnight range. Balance of Whites (EDM2-EDZ2, +0.060-0.105), Reds (EDH3-EDZ3) through Golds (EDH6-EDZ6) +0.075-0.105).
  • Policy uncertainty: Red Sep'23-Dec'23 at 97.765 remains inverted vs. Green Mar'24 by 0.070.
  • Option positioning: Active accts still holding large downside put positions in various quarterly expiries/strikes from Jun'22 through Dec'22. Decent vol buying late Friday bore fruit w/ real vol delivering this morning.
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