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Post-LIBOR Settle Update, 3M Pause

US EURODLR FUTURES

Lead quarterly EDM2 trades weaker at 98.445 (-0.015) -- but off lows after latest 3M LIBOR settle inches -0.00014 lower to 0.96557% (+0.03157/wk) after climbing to near 2Y highs yesterday (0.96571%).

  • Balance of Whites (EDU2-EDH3) trade -0.015-0.030 lower as market resumes pricing in increased chances of 50bp hikes over the next couple policy meetings
    while Reds (EDM3-EDH4) trade -0.030-0.040 lower, Greens-Golds (EDM5-EDH7) trading -0.045-0.060 lower.
  • Uncertainty over pricing in forward policy (or confidence in Fed managing a soft landing): longer expirys continue to outperform. First price inversion: Red Jun'23 (97.050) vs. Red Sep'23 (97.055). Inversion flattens out in Blue Mar'26 through Golds (EDM6-EDH7) trading around 97.550.
  • Eurodollar option roundup: Wednesday's volume, lacking all session, surged in late trade with 280,000 condor roll package: +35,000 Dec 97.12/97.37/97.62/97.87 put condors vs. -35,000 Dec 97.50/97.75/98.00/98.25, 1.5 net db. Earlier in the session, paper did buy some Blue June 98.50/99.00 call spds at 1.25.

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