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Post-LIBOR Settle Update: New 3M High

US EURODLR FUTURES

Lead quarterly EDM2 trades weaker at 98.320 (-0.035), extending overnight low after latest 3M LIBOR settle +0.02185 to 1.01071% highest level since April 2020 as benchmark climbs +0.04871 this week wk (previous high from March 29 was 1.00600%.

  • Reversing Thu's move the balance of Whites (EDU2-EDH3) trade -0.045-0.070 lower, Reds through Greens (EDM3-EDH5) -0.070-0.055, Blues through Golds (EDM5-EDH7) trading -0.050-0.030.
  • Still inverted but off recent extremes -- 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 96.58-.585 vs. Red Dec'23 at 96.70. Inversion flattens out around late Blues/front Golds (EDH6-EDU6) trading around 97.24.
  • Highlight option trade from Thursday: US FI option trade continued to focus on downside puts while underlying rate futures traded mixed.
  • Overall volumes were rather muted, however, with a few exceptions. September Eurodollar options saw carry over interest after Block sale of -40,000 Sep 96.62/97.12/97.75/98.00 put condors crossed 8.5 on Wednesday.
  • On Thu, 40,000 Sep 96.75/97.00 put spds were blocked at 2.75 after a scale seller of -15,000 Sep 97.00/97.50/98.00/98.50 iron condors from 23.0-22.5 ref 97.68. In Treasury options, paper bought over 25,000 wk3 TY 118.5 puts at 4.
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