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Post-LIBOR Settle Update: 3M Making New High Again

US EURODLR FUTURES

Lead quarterly EDM2 dipped briefly but holding +0.005 at 98.1775 despite latest 3M LIBOR set' surged +0.03043 to new 2Y high of 1.47800% (+0.03429wk).

  • Balance of Whites (EDU2-EDH3) trade trading steady to mixed now +/-0.010, Reds through Golds (EDM3-EDH7) -0.020-0.045 w/ Greens (EDM4-EDH5) underperforming.
  • Inversion holds to front Reds (mkt measure of confidence in Fed managing a soft landing/avoiding recession): Red Sep (EDU3) currently trading 96.615 vs. Red Jun (EDM3) at 96.535. Levels start to flatten out (dis-invert) around Blue Sep'25-Dec'25 trading 96.985.
  • Tuesday FI option trade recap: Wing insurance buying more paired than the better put put buying last couple days. Notable buy in SOFR options included +10,000 SFRQ2 97.93/98.06/98.12/98.25 call condors, 1.0. Eurodollar screen trade included
  • +5,000 Sep 96.68/96.93/97.81/98.06 call condors, 20.5 and scale buyer of Dec 99.00 calls at 1.5.

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