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Post-LIBOR Settle Update, New 3M High

US EURODLR FUTURES

Lead quarterly EDM2 holding near overnight lows at 98.525 (-0.030) after latest 3M LIBOR settle climbs +0.02357 to 0.95757% -- highest level since mid-April, 2020 after climbing +0.10800 total last wk.

  • Balance of Whites (EDU2-EDH3) trade -0.050-0.070, while Reds through Golds (EDM3-EDH7) trading -0.050-0.070 lower, Greens and Blues (EDM4-EDH6) underperforming.
  • Uncertainty over pricing in forward policy: longer expirys continue to outperform w/ first price inversion still between Red Sep'23 (97.180) and Red Dec'23 (97.235). Inversion extends through Greens (EDM4-EDH5) while latter half of Blues-start of Golds trade flat around 99.725.
  • Eurodollar option roundup: Friday saw pick-up in put buying on the day after hawkish policy comments from Fed Gov Waller, StL Fed Bullard and Richmond Fed Barkin weighed on Eurodollar Whites. Highlight trade/Blocks
    • +20,000 Sep'22 97.62/98.00 put spds, 12.5 vs.
    • -10,000 Dec'22 97.75/98.00 put spds, 14.0 vs.
    • -10,000 Mar'23 97.50/97.75 put spds, 14.0
    • Block, 14,000 Dec 99.25/99.37 put spds, 0.5 vs. 97.635/0.05%
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