Post-LIBOR Settle Update

Lead quarterly EDM2 trading modestly weaker at 98.425 (-0.010) after latest 3M LIBOR settle climbs +0.01729 to new 2Y high of 0.98286%, +0.04886 total on week.

• Balance of Whites (EDU2-EDH3) trade -0.005-0.020 lower as market resumes pricing in increased chances of 50bp hikes over the next couple policy meetings, while Reds through Golds (EDM3-EDH7) trading -0.025-0.045 lower.
  
• Uncertainty over pricing in forward policy (or confidence in Fed managing a soft landing) evident as longer expirys continue to outperform. First price inversion holding at Red Jun'23 (97.020) vs. Red Sep'23 (97.035). Inversion flattens out in Blue Mar'26 through Golds (EDM6-EDH7) trading around 97.535.
  
• Eurodollar option roundup: Robust volumes in both Eurodollar and Treasury options Thursday, largely two-way with some accounts fading the early sell-off in underlying rates via put structure sales in Eurodollar options: via 2Y midcurve put spreads targeting a rebound in mid-2024 and late 2024.
• Sources reported sale of 10,000 Green Jun 97.75/98.00 put spds, 20.5 ref 97.305 and -5,000 Green Dec 97.75/98.25 put spds, 35.5 vs. 97.375/0.15% ahead the NY open.
• Better put structure buying emerged ahead midday: buying over +5,000 Sep 97.00/97.37/97.75 put flys, 6.5 ref 97.88, 5,000 Dec 97.00/97.25/97.50 put flys, 3.0 and Dec 97.00/98.00 put over risk reversals, 3.5.