Post-LIBOR Settle Update

Lead quarterly EDM2 bounces back near overnight high, gains +0.020 to 98.455 after latest 3M LIBOR settle slips -0.00386 to 0.95371% -- off Mon's highest level since mid-April, 2020 of 0.95757%.

• Balance of Whites (EDU2-EDH3) trade -0.020-0.040, while Reds through Golds (EDM3-EDH7) pare losses, trading -0.010-0.020 lower.
• Uncertainty over pricing in forward policy: longer expirys continue to outperform. First price inversion moves forward after Mon's rout: Red Jun'23 (97.005) vs. Red Sep'23 (97.025). Inversion extends through Blues now (EDM5-EDH6) while Golds trade flat around 97.585 to 97.60.
• Eurodollar option roundup: Heavy put volume Monday after unexpectedly active session with Tsy yields surging (30YY climbing to 2.5531% high) on the back of hawkish Fed chair Powell comments from NABE conf: in short willingness to make "more than 25bp" hikes at each meeting in order to keep inflation in check if needed.
  
• Rather quiet start to Mon on lighter volumes w/Japan out on extended holiday weekend, varied put buying accelerated around midday, finishing strong with large Eurodollar put condor blocks after the close as underlying futures priced in appr eight 25bps hikes (or combination of 50 and 25 bps hikes) by year end.