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

US EURODLR FUTURES

Lead quarterly EDM2 trading +0.010 at 98.1975 even after latest 3M LIBOR set' gains +0.00714 to new 2Y high of 1.53100% (+0.02457/wk).

  • Balance of Whites (EDU2-EDH3) currently trading +0.025-0.030, Reds through Golds (EDM3-EDH7) +0.030-0.060, Blues (EDM5-EDM6) outperforming.
  • 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 96.820 vs. Red Jun (EDM3) at 96.695. Levels start to flatten out (dis-invert) around Blue Sep'25-Dec'25 trading 97.16-.15.
  • Monday FI option trade recap: Mixed flow on lighter volumes, better upside call, call structure buying in Eurodollar and Tsy options looking for a technical rebound in underlying futures, more two-way in SOFR options.
  • Salient flow: Block buy of 26,580 Sep Eurodlr 97.62 calls, 10.0 vs. 97.38/0.33%; +9,500 TYN 120.5/122 call spds, 20 ref 119-09 and +10,000 TYN 121 calls, 22 re. 119-04.5. In SOFR options: +12,000 SFRU2 97.37/97.43/97.56/97.62 call condors, 2.0-1.75, mostly 1.75 after Block buy 10,000 SFRU2 97.43/97.56/97.68 put flys, 2.25, another 7k at 2.0/screen.
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