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Post-LIBOR Settle Update: Fourth Consecutive 3M High

US EURODLR FUTURES
Lead quarterly EDM2 trades weaker at 98.365 (-0.010), still off late overnight low (98.345) after latest 3M LIBOR settle gains +0.00586 to 1.04429%, +0.02772 total for week and fourth consecutive new high (Apr 2020 lvls).
  • Balance of Whites (EDU2-EDH3) trade -0.005-0.010 lower, Reds through Blues (EDM3-EDH6) trading -0.005-0.020 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 at 96.755 vs. Red Dec'23 at 96.77. Inversion flattens out around late Blues (EDU5-EDZ5) trading around 97.19.
  • Highlight trade from Tuesday: Mixed Two-way trade Tuesday, early position building followed by some chunky consolidation as underlying futures reversed early losses.
    • Two-way call trade picked up as underlying futures held early gains into the second half. Late Eurodollar Blocks: +15,440 Green Jun'24 97.50 calls, 61.0 at 1452:57ET after +17,593 Red Mar'24 97.50 calls, 56.0 at 1450:36ET.
    • Traders reported modest put flow in the lead-up to CPI: a Block of 5,000 May 98.31 puts, 7.0 ref 98.31, 7,000 short Apr 96.75/96.87 put spds, and 4,000 Green Jul 96.25/96.62 put spds vs. Gold Jul 96.50/96.87 put spds on screen.
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