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Post-LIBOR Settle Update: 3M New 2Y High

US EURODLR FUTURES

Lead quarterly EDM2 holding steady at 98.175 after latest 3M LIBOR set' climbs +0.02200 to new 2Y high of 1.42186% (+0.02000/wk), blowing past last Wed's prior 2Y high of 1.40614%.

  • Balance of Whites (EDU2-EDH3) trades +0.015-0.060 higher, Reds through Golds (EDM3-EDH7) gaining +0.065-0.080 to just off overnight highs.
  • Inversion in front Reds (mkt measure of confidence in Fed managing a soft landing/avoiding recession) holding: Red Sep (EDU3) currently trading 96.725 vs. Red Jun (EDM3) at 96.665. Levels start to flatten out (dis-invert) around Blue Sep'25-Dec'25 trading 97.05.
  • Tuesday's FI option trade recap: mixed bag of two-way Eurodollar calls, SOFR and 5Y call buyers while put buyers hedging higher yields in 5s were reported.
  • Highlight Eurodollar option trade included a Block sale of 50,000 December 97.00 calls at 0.5 followed by limited upside hedge via 15,000 Dec 99.37/99.50/99.87 call flys. Salient SOFR option Block included a purchase of 30,000 SFRH3 98.25 calls at 13.0.
  • Notable Treasury options centered on 5s with paper buying over 30,000 FVM 114 calls at 5.5, while paper bought 10,000 FVM 110.5/111.5/112/112.5 put condors at 5.5 in the second half.

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