Post-LIBOR Settle Update, 50Bp Hike Odds Evaporate

Lead quarterly EDH2 holding near recent highs at 99.37 (+0.025), ignoring latest 3M LIBOR settlement +0.00657 to 0.51086%, -0.01214 total for wk as conflict in Ukraine worsens on sixth day of Russia invasion.

• Russia/Ukraine crisis escalates: risk-off/safe haven buying across FI mkts: 30YY falls to 2.0729% -0.0882 , 10YY 1.7190% -.1060.
• Another surge in risk-off buying in FI markets sees chances of 50bp rate hike at the March 15/16 FOMC evaporating, pricing of additional hikes cool as Whites-Reds add another +0.190-0.250 to Monday's +0.195-0.225 rally!
• April FF currently trades 99.665 (+0.015) associated w/.25 bps hike
• Shorts being unwound after heavy Block buying Monday: +50k EDH2 99.335, +50K EDU2 98.525, +20k EDM 98.92. Sep'22 buy helped EDM2/EDU2 spd drop 8bp to 32.0, reversing the jump associated w/ 7.5% CPI print on Feb 10.
• Balance of Eurodollar strip trading broadly higher, near overnight highs: Reds (EDH3-EDZ3) through Golds (EDH6-EDZ6) +0.235-0.115.
• Policy uncertainty: Red Dec'23 at 98.04 (was 97.765 early Monday) remains inverted vs. Green Mar'24 by 0.055.
• Option positioning: Some sporadic upside call interest as underlying takes another large leg higher, but low delta call volumes not as robust as in Tsy options. Put trade mixed with some unwinds vs. new buys looking for a reversal. Implieds running firmer