Post-LIBOR Settle Update: Latest 3M Benchmark High

Lead quarterly EDM2 trades weaker at 98.32 (-0.010), well off overnight low of 98.295 even after latest 3M LIBOR settle +0.01072 to 1.02143%, highest level since April 2020 after benchmark climbed +0.04871 total last week wk.

• Balance of Whites (EDU2-EDH3) trade -0.035-0.075 lower, Reds (EDM3-EDH4) -0.085-0.070, while Greens through Golds (EDM4-EDH7) trading -0.070-0.065.
• 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 96.46 vs. Red Dec'23 at 96.57. Inversion flattens out around late Blues/front Golds (EDH6-EDM6) trading around 97.145.
• Highlight option trade from Friday: New cycle highs for Treasury yields and broadly weaker underlying rate futures continued to spur continued interest in downside puts Friday, though overall volumes were rather muted ahead the weekend and next week's shortened pre-Easter holiday.
• Always an exception, Eurodollar option trade included a scale buyer of over 20,000 Blue June 98.00 calls from 2.0 to 2.5. Blue June options use June'25 futures as their underlying but expire at same time as front June.
• Meanwhile, paper bought 5,000 Green Jul 96.62/96.81 put spds, at 7.0 vs. 96.92-.925.