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Post-LIBOR Settle Update, EDH2 Expires

US EURODLR FUTURES

Lead quarterly EDH2 expires 99.11529 after latest 3M LIBOR settlement surge to highest level since late April 24, 2020: +0.05871 to 0.88471% (+0.21586 total last wk).

New lead quarterly EDM2 trading -0.050 lower at 98.53 (-0.050).

  • Balance of Whites (EDU2-EDH3) through Golds (EDM6-EDH7) currently -0.050-0.100 with Reds (EDM3-EDH4) underperforming.
  • Headline risk resumes:, cautious optimism with focus on peace talks. Latest round of Kremlin headlines has stocks paring gains (see 0750ET bullet)
  • Meanwhile, Fed remains in blackout ahead Wednesday's FOMC policy annc --
    Uncertainty over pricing in forward policy: longer expirys outperforming: first price inversion between Red Sep'23 (97.47) and Red Dec'23 (97.51).
  • Option summary: Friday FI derivatives trade saw carry-over interest in buying upside calls, and modest positioning in long puts. Theme gaining momentum -- despite underlying futures pricing in six to seven 25bp hikes by year end -- is that increased market uncertainty due to Russia's war in Ukraine is likely to forestall more hikes down the road (after the Fed hikes next week).

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