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Post-LIBOR Settle Update: 3M Continues Climb to New 2Y Highs

US EURODLR FUTURES

Lead quarterly EDM2 trading -0.010 to 98.10 after latest 3M LIBOR set'
climbs to new 2-year high of 1.33486% (+0.04886), up +0.12125 for the week.

  • Off late overnight lows, the balance of Whites (EDU2-EDH3) trade -0.025-0.040 lower, Reds (EDM3-EDH4) -0.040-0.020 lower, Greens (EDM4-EDH5) -0.015 to steady while Blues through Golds (EDM5-EDH7) trade steady to +0.010 higher.
  • Inversion holding in front Reds: Red Sep (EDU3) currently trading 96.505 vs. Red Jun (EDM3) at 96.415 -- 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 97.01.
  • Thursday derivatives roundup: With some decent call trade in the mix, varied put trades drove volumes as underlying rate futures unwound midweek support Thursday. Underlying futures held weaker levels, early real vol evaporating as levels held near middle of the session range.
  • Rate-hike insurance position building gained momentum as market consensus over multiple 50bp hikes (as opposed to 75bp) grows - despite this morning's Real GDP surprising decline of -1.4% annualized (cons +1.0%).
  • Highlight Eurodollar trade included early block buy of 10,000 Sep 97.12 puts at 21.5 vs. 5,000 Sep 98.12 calls at 7.0 vs. 4,000 EDU2 97.33; additional block buy 20,000 Dec 96.00/97.00/97.37 broken put flys, 13.5 likely rolling down strikes as underlying Dec futures traded 96.855 (-0.070).
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