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Post-LIBOR Settle Update: Ignoring New 3M High

US EURODLR FUTURES

Lead quarterly EDU2 trades steady to +0.005 at 96.685 after latest 3M LIBOR set' new 3Y high of 2.51200% +0.02900 (+0.08900/wk).

  • Forward Fed hike expectations steady after moderating slightly since last Fri's strong jobs data, balance of Whites through Golds (EDZ2-EDM7) +0.025-0.015. Markets await this morning June CPI read for direction.
  • Front end inversion at recent lows: Dec'22/Mar'23 at -0.130. Most inverted calendar spds: EDZ2/EDZ3 at -0.635, EDH3/EDH4 at -0.620. Inversion starts to flatten out in latter half of Greens w/ EDH5/EDM5 trading flat (97.220).
  • Second consecutive session of limited option volume Tuesday, flow mildly bullish with put unwinds and call buys with underlying futures trading higher, 30YY falling to 3.0833% low before climbing back to 3.1240% after the bell.
  • Highlight Eurodollar trade includes put skew sale with 5,000 Dec 96.00 puts 6.0 over 96.25/96.75 call spreads. Midcurve call buyer paid 40.5 for 5,000 Green Dec 97.25 calls vs. 97.185/0.45%.
  • Limited SOFR trade had paper buying 7,000 SFRZ2 96.50/97.00/98.00 broken call flys.

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