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Post-LIBOR Settle Update: 3M Resumes March to New 2Y Highs

US EURODLR FUTURES
Lead quarterly EDM2 trading -0.005 at 98.19 after latest 3M LIBOR set' gains +0.01743 to new 2Y high of 1.52386% (+0.06272 total last wk).
  • Balance of Whites (EDU2-EDH3) currently trading -0.020-0.025, Reds through Golds (EDM3-EDH7) -0.030-0.045.
  • Inversion holds to front Reds: low mkt measure of confidence in Fed managing a soft landing/avoiding recession has extended: Red Sep (EDU3) currently trading 96.785 vs. Red Jun (EDM3) at 96.67. Levels start to flatten out (dis-invert) around Blue Sep'25-Dec'25 trading 97.145-.135.
  • Friday FI option trade recap: Eurodollar and SOFR option trade centered on buying upside call insurance as underlying rates see-sawed higher through the session (30YY below 3.0% again at 2.9827%).
  • Yield curves bull flattened as short end resisted the rally. Nevertheless, rate hike hedging cooled somewhat and option accounts favored buying upside call plays.
  • SOFR option trade included early buying of near 20,000 SFRU2 97.68/97.87/98.06 1x3x2 call flys, wings bought over 0.0 ref 97.63. Highlight Eurodollar option trade included a buy of 20,000 Sep 97.50/97.75 call spds, 6.5, and +15,000 Sep 97.50/97.62/97.75 call flys, 1.25 wings over. in 2Y midcurves, paper bought +20,000 Green Oct 97.00/97.50 call spds 3.5 over Green Oct 96.62 puts.

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