Post-LIBOR Settle Update, New 3M High

Lead quarterly EDM2 holding steady at 98.445 after latest 3M LIBOR settle climbs +0.01200 to 0.96571% new near two-year highs as benchmark gains +0.03171 on the week so far.

• Balance of Whites (EDU2-EDH3) trade +0.025-0.035 as markets start to scale back more aggressive rate hikes, while Reds through Greens (EDM3-EDH5) trade +0.025-0.005 higher, Blues-Golds (EDM5-EDH7) trading weaker now (-0.005-0.015).
  
• Uncertainty over pricing in forward policy: longer expirys continue to outperform. First price inversion: Red Jun'23 (97.055) vs. Red Sep'23 (97.055). Inversion extends to latter half of the Blues now (EDZ5-EDH6) around 97.545 to 97.550.
• Eurodollar option roundup: Carry-over bid for outright puts and put spreads reported Tuesday as FI sell-off accelerated this morning after StL Fed Pres Bullard comments on Bbg TV urged Fed to "move aggressively to curb inflation .. faster is better" to get "policy back to neutral", adding 50bp hike "would definitely be in the mix."
• Slight delayed reaction to hawkish StL Fed Bullard comments, lead quarterly Eurodollar futures reversed after going bid on lower 3M LIBOR settle (-0.00386 to 0.95371%, +0.01971/wk). Growing expectation of 50bp hike from Fed in May and June spurred buying of 5,000 Jun 98.00/98.12/98.25/98.37 put condors, 3.5 and 20,000 Jun 98.62 puts 10.5-12.0 over Dec 97.87/98.12 put spds.