No LIBOR Settles, Futures Weaker, 50Bp Hike Expected Wed

Lead quarterly EDM2 trading at 98.07 (-0.005), no LIBOR set's with London out for May Day holiday. Last Friday, 3M LIBOR climbed to new 2-year high of 1.33486% (+0.04886), up +0.12125 for the week.

• Well off overnight lows, the balance of Whites (EDU2-EDH3) trade -0.010-0.015 lower, Reds through Golds (EDM3-EDH7) trade -0.005-0.035 lower.
• Inversion holding in front Reds: Red Sep (EDU3) currently trading 96.48 vs. Red Jun (EDM3) at 96.39 -- 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 96.97.
• Friday derivatives roundup: Overall FI option volumes muted Friday, theme of better put trade continued as underlying rate futures traded back near early week levels, curves flatter (but off lows) amid heavy selling in the short end.
• Despite weaker economic data this week, STIR futures are pricing in 200Bp of rate hikes over the next four meetings.
• Not a lot of new put positions being created, late week trade more tied to repositioning strikes via condor sales, or profit taking/position squaring ahead the weekend.
• Some examples: block sale of 10,000 Jun 98.00/98.12/98.25/98.37 put condors, 7.0; in 30Y bond options, paper sold over -7,700 USM 132/134/136/138 put condors, 21-17. Large 5Y call spd unwind: 35,000 FVM 113.5/114 call spds, 8.5.