Post-LIBOR Settle Update: Yes, Another New 3M High

Lead quarterly EDM2 trades at 98.227 (+0.0025) after latest 3M LIBOR set' climbs to new 2Y high of 1.74471% +0.02342 (+0.11871/wk).

• Rate hike pricing through year end, holding around four 50bp as balance of Whites through Reds (EDU2-EDH4) trades -0.015-0.025, Greens (EDM4-EDH5) steady to +/-0.005, Blues through Golds (EDM5-EDH7) +0.010-0.035 w/ Golds outperforming.
  
• Inversion holds to front Reds: low mkt measure of confidence in Fed managing a soft landing/avoiding recession expands to 12.0: Red Sep (EDU3) currently trading 96.425 vs. Red Jun (EDM3) at 96.305. Inversion starts to flatten out (dis-invert) around Blue Mar'26/Gold Jun'27 trading 96.965.
  
• Thursday option roundup: Aside from a massive conversion strip in Eurodollar options, FI option trade revolved around puts and put spreads ahead of Fri's May CPI.
• Lending $: Eurodollar option volume will see a massive jump in open interest after 90,000 conversion strips: 90k in each of Dec'22/Mar'23/Jun'23 97.00 conversion w/ Jun'23 97.50 conversion, 4.75 total/package. While large, the structure most likely involving one large account lending to another for the duration of the trade. Other Eurodollar trade included 17,200 short Aug 96.25 puts, 13.0-12.5 and 4,300 Blue Jun 96.75 puts, 0.5.
• 5Y Tactical Play For Stronger Than Expected CPI. Paper bought +10,000 wk2 5Y 111/111.25 put spds, 1.5 vs. 111-24.5/0.05%, a relatively cheap data hedge, but w/mkt anticipating 0.7% CPI, actual read would have to be greater than that for the put spd to go bid.