Post-LIBOR Settle Update

Lead quarterly EDM2 bounces off low of 98.400 to steady at 98.415 after latest 3M LIBOR settle slips -0.00243 to 0.96657% (+0.00457/wk). Mkt had been anticipating a higher set as balance of Whites (EDU2-EDH3) trade -0.030-0.045 lower from -0.050 to -0.070 earlier, Reds through Golds (EDM3-EDH7) now trading -0.055 to 0.075.

• Rate hike expectations for 2022 holding steady w/ Fed funds futures pricing in appr 2145p for Dec'22 overnight.
• Longer expirys continue to outperform in low measure of confidence in forward policy and/or Fed managing a soft landing/avoiding recession. First price inversion holding at Red Jun'23 to Red Sep'23 flat at 96.635 vs. Red Dec'23 at 96.73. Inversion flattens out in Golds (EDMZ-EDH7) trading around 97.55 (-0.075).
• Highlight option trade noted Monday: Better overnight call trade, albeit on lighter volumes, evaporated around midmorning. Underlying rates extended lows/risk-on following ECB Vasle headline that "negative rates may end by year end."
• Looking for futures to continue to rebound off last Frida's rout, overnight call buying noted in Eurodollar May 98.25/98.31/98.43/98.56 call condors. Treasury options saw buyers of May 119/120 call spds and Jun 5Y 114.75 calls outright and 114.5/115.5 call spds.
  • +5,000 short Dec 95.25/95.50/95.87/96.12 put condors, 3.25
    +5,000 short Dec 95.62/96.00/96.37 put flys, 3.75 vs. 96.87/0.02%