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Post-LIBOR Settle Update, Another New 3M High

US EURODLR FUTURES

Lead quarterly EDH2 currently trading +0.005 at 99.1725, fast two-way trade again after latest 3M LIBOR settlement continues to surge to highest level since late April 2020: +0.04200 to 0.74500% (+0.13486/wk).

  • Levels out the strip trading weaker, at near overnight lows: balance of Whites (EDM2-EDZ2) -0.010-0.035, Reds through Golds (EDH3-EDZ6) -0.055-0.040.
  • Policy uncertainty during Russia/Ukraine war as expressed by inversion in futures has crept into the Reds with with EDM3 and EDU3 both at 97.68 vs. EDZ3 at 97.72. Greens (EDH4-EDZ4) ascending from 97.83 to 97.945 while Blues (EDH5-EDZ5) trade narrow range from 97.985 to 98.01.
  • Option positioning continues to target downside puts, outright or spd with one acct rolling down strikes with over 100,000 Dec 97.00/97.50/98.00 put trees sold from -0.010-0.005 since last Friday.
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