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Post-LIBOR Settle Update: 3M Bounce, Still Off Wed' 2Y High

US EURODLR FUTURES

Lead quarterly EDM2 trading mildly lower at 98.14 (-0.005) after latest 3M LIBOR set' rebounds +0.03115 to 1.40186% (+0.06700/wk) and just off Wed's 2Y high of 1.40614%.

  • Balance of Whites through first half of Reds (EDU2-EDU3) trade +0.010-0.020 higher, Greens through Golds (EDM4-EDH7) trade -0.005-0.020 lower.
  • Inversion in front Reds (mkt measure of confidence in Fed managing a soft landing/avoiding recession) continues, but off lows w/ Red Sep (EDU3) currently trading 96.45 vs. Red Jun (EDM3) at 96.37. Levels start to flatten out (dis-invert) around Blue Sep'25/Dec'25 trading 96.855.
  • Thursday derivatives roundup: FI option option trade was dominated by put spread selling/position unwinds Thursday as underlying rates reversed Wednesday's post-FOMC "relief rally" when it was deemed Chairman Powell was not overly hawkish by not keeping 75bp rate hike chatter alive.
  • Variations on the theme: Block sale of -50,000 Sep 97.25/97.50 put spds, 14.0 followed by myriad June, Sep Dec and March put spd sales, various strikes.
  • Aside from unwinding puts/put spds seeing pick-up in call buyer fading sell-off in underlying: 28,000 short Aug 97.37/97.62 call spds, 2.0.
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Lead quarterly EDM2 trading mildly lower at 98.14 (-0.005) after latest 3M LIBOR set' rebounds +0.03115 to 1.40186% (+0.06700/wk) and just off Wed's 2Y high of 1.40614%.

  • Balance of Whites through first half of Reds (EDU2-EDU3) trade +0.010-0.020 higher, Greens through Golds (EDM4-EDH7) trade -0.005-0.020 lower.
  • Inversion in front Reds (mkt measure of confidence in Fed managing a soft landing/avoiding recession) continues, but off lows w/ Red Sep (EDU3) currently trading 96.45 vs. Red Jun (EDM3) at 96.37. Levels start to flatten out (dis-invert) around Blue Sep'25/Dec'25 trading 96.855.
  • Thursday derivatives roundup: FI option option trade was dominated by put spread selling/position unwinds Thursday as underlying rates reversed Wednesday's post-FOMC "relief rally" when it was deemed Chairman Powell was not overly hawkish by not keeping 75bp rate hike chatter alive.
  • Variations on the theme: Block sale of -50,000 Sep 97.25/97.50 put spds, 14.0 followed by myriad June, Sep Dec and March put spd sales, various strikes.
  • Aside from unwinding puts/put spds seeing pick-up in call buyer fading sell-off in underlying: 28,000 short Aug 97.37/97.62 call spds, 2.0.