Post-LIBOR Settle Update

Lead quarterly EDM2 trading broadly lower at 98.43 (-0.055), offered even before latest 3M LIBOR settle inched +0.00043 higher to 0.96200%, -0.02086 total on week after climbing to 1.00600% Tuesday -- highest since April 2020.

• Don't fight the Fed? Or just absence of month/quarter-end buying? With little change in underlying risk (mkt awaits March jobs data) it seems more likely the latter as markets return to pricing in more aggressive rate hikes for 2022: 198bp yesterday to 210bp vs. 220bp Mon.
• Balance of Whites (EDU2-EDH3) trade -0.070-0.100 lower, Reds (EDM3-EDH4) through Greens (EDM4-EDZ5) -0.120-0.150, Blues through Golds (EDM5-EDH7) trading -0.100-0.075 lower.
• Measure of confidence in forward policy and/or Fed managing a soft landing/avoiding recession: low as longer expirys continue to outperform. First price inversion holding at Red Jun'23 (96.75) vs. Red Sep'23 (96.76). Inversion flattens out in Golds (EDM6-EDH7) w/ strip trading around 97.58-.59.
• Mixed option trade noted Thursday -- positioning ahead Friday's March jobs report (+490k est), some decent upside Treasury call buying more notable than the earlier two-way as underlying futures climbed back to last week Wednesday's early highs.
  • Two- and three-year midcurve put condors of note included sale of -5,000 short Dec 96.62/96.87/97.12/97.37 put condors with
  • -5,000 Green Dec 96.75/97.00/97.25/97.50 put condors, 8.5 total credit on the double sale package. Of note, paper bought 6,000 Green Dec 95.50/96.00/96.50/97.00 put condors at 10.0 vs. 97.28/0.08% overnight.