Post-LIBOR Settle Update: Third Consecutive New High For 3M

Lead quarterly EDM2 trades weaker at 98.31 (-0.025), overnight low after latest 3M LIBOR settle gains +0.01700 to 1.03843% -- third consecutive new high (Apr 2020lvls) after gaining +0.02772 total for week.

• Balance of Whites (EDU2-EDH3) trade -0.005-0.015 lower, Reds through Golds (EDM3-EDH7) trading -0.015-0.030 lower -- 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/Red Sep'23 flat around 96.56 vs. Red Dec'23 at 96.655. Inversion flattens out around late Blues (EDZ5-EDH6) trading around 97.008.
• Highlight trade from Monday: Heavy buying in Reds (EDM3-EDH4) Monday, +0.030-0.060 by the close amid Eurodlr/SOFR spds, scaling back some 2023 rate hike positioning.
• Option flow remained largely put-centric with a few exceptions Monday. Traders noted decent put selling on the day, unwinds/profit taking as Tsy curves continued to bear steepen (2s10s back to mid-march levels 28-29, well off -9.561 inversion from week ago) with bonds extended and held near late session lows by the bell.
• Traders reported selling in 2- and 3Y midcurve put plays (-10,000 Blue Sep 96.87/97.37 put spds at 24.25, -5,000 Green May 96.37/96.62/96.87 put flys, 4.5 vs. 96.845) and intermediate to longer Treasury options (-5,000 TYM 120 puts at 126, -5,000 USM 138/142 put spds, 122).