Post-LIBOR Settle Update: Strip Reverses Wed's Gains Post 3M

Lead quarterly EDM2 trades weaker at 98.225 (-0.030), extends overnight low after latest 3M LIBOR set' climbs to new 2-year high of 1.18400% (+0.04771), up +0.12129 for the week.

• Reversing much of Wed's gains: balance of Whites (EDU2-EDH3) trade -0.030-0.040 lower, Reds through Golds (EDM3-EDH7) -0.040-0.055.
• Price inversion holding: Red Sep (EDU3) currently trading 96.490 vs. Red Jun (EDM3) at 96.470 -- 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 Dec'25-Mar'26 trading 97.00-97.01.
• Wednesday derivatives roundup: Tue's better call buying fading the sell-off in underlying futures that saw 30YY top 3% (3.016%; 3.0285% early Wed Asia hours) had the right idea: anticipating Wed's rally as underlying futures bounced off lows. But likely not the trigger: Bank of Japan offered to conduct an unlimited purchase of Japanese Government Bonds (JGBs).
• Curves bull flattened Wed as short end remained under pressure -- pricing in two to three 50bp hikes over the next three FOMC meetings.
  
• Eurodollar put buying out to September expirys saw moderate volumes while 3Y midcurves saw decent buying in 3Y midcurve calls on the day. Treasury options saw more consistent buying in 10Y calls on the day