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Post-LIBOR Settle Update: New 3M High

US EURODLR FUTURES

Lead quarterly EDM2 holding weaker at 98.36 (-0.015), still off early overnight low (98.345) after latest 3M LIBOR settle at 1.06271% (+0.01842) up +0.05200 for the week, revisiting Apr 2020 levels.

  • Balance of Whites (EDU2-EDH3) trade +0.010-0.025 higher, Reds through Blues (EDM3-EDH6) gain 0.015-0.025, Golds (EDM6EDH7) +0.010 to steady.
  • Red Dec (EDZ3) currently trading 96.94 vs. first half of strip at 96.84-.845 -- the inversion a low measure of confidence in forward policy and/or Fed managing a soft landing/avoiding recession has been priced in for months.
  • Levels start to flatten out (dis-invert) around late Blue Sep'25-Dec'25 trading 97.245.
  • Highlight trade from Wednesday: Implieds inched lower on a mix of two-way positioning Wednesday, active FI accounts squaring up ahead Thursday's early close and extended Easter Holiday weekend.
    • Block/crosses drove Eurodollar option volumes with buyer of 40,000 Green Dec 97.62/97.87 call spds, 7 after 17,580 short Sep 97.62 puts (deep in the money) blocked at 97.50.
    • Net short vol put tree buyer picked up 8,500 Dec 96.87/97.00/97.50 put trees at even vs. 97.185/0.15%.

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