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Post-LIBOR Settle Update: 3M Resumes Climb, New 2Y High

US EURODLR FUTURES

Lead quarterly EDM2 holds mildly weaker at 98.23 (-0.0025) after latest 3M LIBOR set' resumes climb to new 2Y high of 1.72129% (+0.03358, +0.09529/wk).

  • Rate hike pricing through year end, holding around four 50bp, while balance of Whites through Reds (EDU2-EDH4) trades -0.005-0.020, Greens (EDM4-EDH5) steady to +/-0.005, Blues through Golds (EDM5-EDH7) steady to +0.030 w/ Golds 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 96.525 vs. Red Jun (EDM3) at 96.415. Inversion starts to flatten out (dis-invert) around Blue Dec'25-Mar'26 trading 96.97.
  • Wednesday option roundup: FI option trade turned more mixed Wednesday as underlying futures swung back lower -- to near the middle of the week's range (10YY back over 3.0% at 3.0289% +.0553).
  • Limited volumes showed a pick-up in downside put structures compared to better upside call (two-way) trade anticipating direction the last couple sessions.
  • Salient SOFR options included a buy of +10,000 SFRN2 97.37/97.50 put spds, 2.25 ref 97.595. Eurodollar options included a buy of 20,000 each Dec 95.75/96.50 put spds, 14.0 and Mar 95.75/96.75 put spds, 38.0 ref 96.525. Treasury options saw several smaller put spd buys in 5s, 10s and 30s after early sale of 5,000 TYN 118.75 calls at 25 and -10,000 FVN2 112.5 calls at 15 ref 111-30.
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