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Post-LIBOR Settle Update: 3M Surges to New High

US EURODLR FUTURES
BulletMarketsFixed Income

Lead quarterly EDM2 slips -0.010 to 98.14 after latest 3M LIBOR set' surged to new 2-year high of 1.28600% (+0.04714), up +0.07239 for the week.

  • Balance of Whites (EDU2-EDH3) trade +0.005-0.010 higher, Reds through Golds (EDM3-EDH7) +0.005-0.015 higher.
  • Inversion holding in front Reds: Red Sep (EDU3) currently trading 96.665 vs. Red Jun (EDM3) at 96.595 -- 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 Mar'26/Gold Jun'26 trading around 97.09.
  • Wednesday derivatives roundup: FI option volumes were not overwhelming Wednesday, but fairly consistent with better buying of low delta puts and put structures, particularly in 10Y Treasury options as the burgeoning bid in rates that saw 30YY fall to 2.819% overnight evaporates.
  • Curve steepening had already been underway prior to the mildly weak 5Y auction (2.785% high yld vs. 2.777 WI) as support for bonds ebbed into midday, put buyers looking for the primary downtrend to continue.
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Lead quarterly EDM2 slips -0.010 to 98.14 after latest 3M LIBOR set' surged to new 2-year high of 1.28600% (+0.04714), up +0.07239 for the week.

  • Balance of Whites (EDU2-EDH3) trade +0.005-0.010 higher, Reds through Golds (EDM3-EDH7) +0.005-0.015 higher.
  • Inversion holding in front Reds: Red Sep (EDU3) currently trading 96.665 vs. Red Jun (EDM3) at 96.595 -- 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 Mar'26/Gold Jun'26 trading around 97.09.
  • Wednesday derivatives roundup: FI option volumes were not overwhelming Wednesday, but fairly consistent with better buying of low delta puts and put structures, particularly in 10Y Treasury options as the burgeoning bid in rates that saw 30YY fall to 2.819% overnight evaporates.
  • Curve steepening had already been underway prior to the mildly weak 5Y auction (2.785% high yld vs. 2.777 WI) as support for bonds ebbed into midday, put buyers looking for the primary downtrend to continue.