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Post-LIBOR Settle Update:New 3M High Set Weighs on Front End

US EURODLR FUTURES

Lead quarterly EDM2 dips -0.0025 to 98.2075 after latest 3M LIBOR set'

gains another +0.02186 to new 2Y high of 1.55286% (+0.04643/wk).

  • Balance of Whites (EDU2-EDH3) currently trading +/-0.005, Reds through Greens (EDM3-EDH5) -0.005-0.025, Blues-Golds (EDM5-EDM7) +0.005-0.015.
  • 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 96.925 vs. Red Jun (EDM3) at 96.825. Levels start to flatten out (dis-invert) around Blue Sep'25-Dec'25 trading 97.235-.225.
  • Tuesday FI option trade recap: Carry-over call buying in Treasury options from the week opener noted Tuesday, while Eurodollar option trade turned mixed and SOFR options added to limited downside put structures after paper bought 7,500 SFRU2 97.37/97.43/97.56/97.62 put condors, 1.75 ref: 97.66 (adds to +16k Mon at 1.75-2.0).
  • Early Eurodollar put trade: +12,000 Dec 96.75/97.00 put spds 0.5-0.75 over Green Dec 96.25 puts, faded as weaker economic data (miss for April new home sales (591k, -16.6% MoM vs. 794k exp, Richmond Fed slowdown).
  • Resulting rally as rate hike pricing in the second half of 2022 cooled saw modest pick-up in upside call buying: +10,000 Sep 97.5/98.37 call spds, 14.5 vs. 97.45/0.40%, small buying Dec 98.00 calls at 6.5.

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