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Impulsive Rally Extends


Late Eurodollar/SOFR/Treasury Option Roundup


Price Is Below The 50-Day EMA


Late Corporate Credit Update

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Lead quarterly EDU2 holding near late overnight highs, currently trading at 96.67 (+0.045) despite 3M LIBOR set' climbing +0.0314 to highest level since Aug 2019 at 2.18457% (+0.08871/wk).

  • Strong rebound w/ balance of Whites through Reds (EDZ2-EDM4) trading +0.095-0.130 as prospect for additional 75bp hikes cools. Greens through Golds (EDU4-EDM7) +0.110-0.080.
  • 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 96.115 vs. Jun'23 at 96.215. Inversion starts to recede around Blue Sep'25/Dec'25 trading 96.77.
  • Tuesday option roundup: Eurodollar option trade centered on calls, mirroring EGB derivatives flow Tuesday as yields continued to climb (30YY tapped 3.3922% high) and curves bear steepened (2s10s +7.036 to 10.902 by the bell).
  • Directionally, flows were mixed. Some faded the sell-off in underlying futures -- looking for a rebound (5,000 Sep 95.87/96.12/97.25/97.50 call condors, 19.5; 10,000 Jul 96.68/97.06 1x2 call spds, 5.5). While others were more repositioning: Block total +20,000 Sep 96.75/97.00/97.25 call trees, 2.5 vs. -20,000 Sep 97.25/97.56/97.75 at 1.0 -- appeared to be a position roll-down/adjust.

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