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Post-LIBOR Settle Update: 3M Nears 3Y Highs

US EURODLR FUTURES

Under pressure across the strip, lead quarterly EDU2 trading -0.010 at 96.64 after latest 3M LIBOR set' climbs to highest level since Sep 2019 at 2.15443%(+0.05857/wk).

  • Balance of Whites through Reds (EDZ2-EDM4) trades -0.055-0.025 as prospect for additional 75bp hikes price in, Greens through Blues (EDU4-EDM6) -0.010-0.020, while selling picks up again in Golds (EDU5-EDM7) -0.025-0.040.
  • Low mkt measure of confidence in Fed managing a soft landing/avoiding recession reflected in inverted futures pricing moving to latter half of Whites w/ Mar'23 currently trading 95.955 vs. Jun'23 at 96.02. Inversion starts to recede around Blue Mar'26/Jun'26 trading 96.77.
  • Scant option volumes Monday with markets closed in observance of Juneteenth holiday. Seeing pick-up in Green Dec call spds this morning w/ over 15,000 2EZ2 97.75/98.25 call spds so far.

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