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Post-LIBOR Settle Update, 3M Surge to April 2020 Lvl

US EURODLR FUTURES
Lead quarterly EDH2 trades shifts lower, extends pre-NY open lows to 99.33 (-0.025) after latest 3M LIBOR settlement surges +0.06100 to 0.58314%, up 0.06014 on the week to level not seen since late April 2020.
  • In short order, markets back to pricing in at least some chance of a 50bp hike from the FOMC on March 16. This after Tue's trade priced in a small chance of (mid- to low teens) of steady rate as dialogue increased the knock-on effect of Russia invasion could derail CB policy plans to hike rates/stem inflation.
  • Second round of Russia/Ukraine peace talks combined with Fed Chairman Powell's semi-annual policy testimony where he sees 25bps liftoff still appropriate on March 16, helped bring markets back in line somewhat.
  • Whites-Reds, EDH2-EDZ3 climbed as much as 0.470 from Mon-Tue, while Reds sold off -0.27-0.29 Wednesday. Red Dec'23 at 97.98 remains inverted vs. Green Mar'24 by 0.070-0.075.
  • Wed's reversal in rates saw renewed buying in downside puts. Two salient trades: +50,000 short Dec 95.00/95.50 put spds, 1.5 -- where the upper strike is associated with 4.5% rate by the end of 2023. Meanwhile, block/cross action included 30,000 Jun 98.25/98.50 put spds, 3.0 ref 98.87.
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