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No LIBOR Settles; Hike Pricing Moderates

US EURODLR FUTURES

No LIBOR settles today and tomorrow w/ London banks out for Spring and Platinum Jubilee holidays, settles resume Monday. Meanwhile, lead quarterly EDM2 holding steady at 98.2325.

  • Moderating market repricing chances of additional rate hikes out the curve (odds of additional 50bp in Fall gaining): balance of Whites through Reds (EDU2-EDH4) trading steady to +/-0.010, Greens through Golds (EDM4-EDM7) +0.010-0.025.
  • 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 96.675 vs. Red Jun (EDM3) at 96.57. Inversion starts to flatten out (dis-invert) around Blue Sep'25-Dec'25 trading 97.06-.065.
  • Wednesday option roundup: Better put trade mixed amid some decent strike roll-downs as underlying futures continued to sell off amid hawkish Fed speak and stronger than expected data.
  • Hedging for hikes to bleed into mid-2023, 20,000 Red Jun'23 SOFR 95.75/95.87 put spds at bought/blocked 2.5 vs. 96.905/0.10%. Conditional bear curve steepener in Eurodollar options had paper buying 10,000 Blue Sep 96.87/97.12 put spds 2.5 over Sep 97.12/97.37 put spds.
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