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Post-LIBOR Settle Update:New 3M High, Reds Shift Lower on Wk

US EURODLR FUTURES

Lead quarterly EDM2 -0.0025 at 98.1825 (vs. 98.17 last Fri) after latest 3M LIBOR set' gains +0.0157 to new 2Y high of 1.50643% (+0.06272/wk).

  • Balance of Whites (EDU2-EDH3) currently trading -0.010-0.020 (-0.035-0.085 compared to last Fri as additional 50bp rate hikes embedded), Reds through Golds (EDM3-EDH7) -0.015-0.020.
  • Inversion holds to front Reds (mkt measure of confidence in Fed managing a soft landing/avoiding recession): Red Sep (EDU3) currently trading 96.73 vs. Red Jun (EDM3) at 96.625. Levels start to flatten out (dis-invert) around Blue Sep'25-Dec'25 trading 97.10-.095.
  • Thursday FI option trade recap: Not a lot of follow-through trade from prior overnight as underlying futures extended session highs by midmorning, rate hike pricing by year end cooling slightly from prior (but still targeting 50bp hikes for at least the next two meetings).
  • Scale buyer over 45,000 July 97.37 calls from 10-11 noted overnight. Volume faded as futures see-sawed off midmorning highs into the close. Treasury option volumes dominated by unwinds of soon to expire June options this Friday.
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