Post-LIBOR Settle Update, 3M Nearing Late March High

Lead quarterly EDM2 holding near overnight low of 98.370 after latest 3M LIBOR settle climbs +0.01982 to 0.98643% (+0.02443/wk) -- gaining on 1.00600% from Tuesday, March 29 -- highest since April 2020.

• Weaker but off overnight lows, the balance of Whites (EDU2-EDH3) trade -0.035-0.065 lower from -0.050 to -0.100 earlier, Reds through Golds (EDM3-EDH7) now trading -0.075 to -0.115 lower.
• Rate hike expectations for 2022 slightly above Tue's post-Fed Gov Brainard comment highs w/ Fed funds futures pricing in appr 225bp by year end. (Brainard: "tightening monetary policy methodically through a series of interest rate increases and by starting to reduce the balance sheet at a rapid pace as soon as our May meeting.")
  
• 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 96.49 vs. Red Dec'23 at 96.60. Inversion flattens out in late Golds (EDMZ-EDH7) trading around 97.29 (-0.115).
• Highlight option trade from Tuesday: Volumes surged in the second half. Salient trade: ongoing bid for short May limited downside put fly -- looking for Red Jun'22 underlying to price in more rate hikes from current level of 96.56 -- targeting 96.06: +20,000 short May 95.93/96.06/96.31 put flys, 4.0 ref 96.56.
  
• Late Blocks: total 30,000 Jun 97.75/97.87/98.187 put trees vs. 98.31/98.50 2x1 put spd, 2.0-2.5 net credit package.