Free Trial
USDCAD TECHS

Northbound

US TSYS

FI Support Evaporates Amid Late Month End Selling

AUDUSD TECHS

Remains Vulnerable

CANADA

Late Risk Off Sees USDCAD Eye Cycle Highs

US TSY OPTIONS

BLOCK, Late Puts

Real-time Actionable Insight

Get the latest on Central Bank Policy and FX & FI Markets to help inform both your strategic and tactical decision-making.

Free Access

Post-LIBOR Settle Update: Anticipation of 100Bp Hike Cools

US EURODLR FUTURES

Markets likely anticipated more of a drop in the 3M benchmark as lead quarterly EDU2 slips 0.005 to 96.465 after latest 3M LIBOR set' slips -0.00272 to 2.73757% this after gapping +0.22829 higher Thu to new 3.5Y high of 2.74029%, benchmark currently up +0.31457 total for the wk.

  • Short end surged higher late Thu after Fed Gov Waller, StL Fed Bullard tamped down on mkt pricing aggressive 100bp hike at July 27 FOMC, both supporting 75bp hike. Though June CPI may have "anchored" Waller's 75bp hike expectation in a couple weeks, he would "lean toward larger, full-point" hike if "retail sales, housing data are 'materially stronger than expected'.
  • Balance of Whites through Reds (EDZ2-EDM4) trade +0.035-0.010 higher, Greens (EDU4-EDM5) steady to +0.005, Blues through Golds (EDU5-EDM7) +0.010-0.035, Golds outperforming.
  • Front end inversion off recent lows: Dec'22/Mar'23 at -0.170 vs. -0.230 Thu. Most inverted calendar spds: EDZ2/EDZ3 at -0.755 vs. -0.810 Thu, EDH3/EDH4 at -0.715. Inversion starts to flatten out in Green Jun'25 vs. Blue Sep +0.020. Outsized put spread trade early Thursday evaporated by late morning as underlying futures in the short end gapped higher as hawkish rate hike expectations cooled suddenly.
  • Some early highlight Eurodollar trade included a buy of 6,200 Sep 95.87/96.12/97.25/97.50 put condors and 21,300 Sep 96.75/Mar 96.12 put calendar spds. Treasury Options more mixed with two-way in 5Y puts: -9,000 FVQ 111.25/111.5 put spds, 6.5 after overnight Blocks: 10,000 FVU 111/111.25 put spds, 5.5 and 12,500 FVU 111.25 puts, 43.5 vs. 111-30.75/0.40%.
243 words

To read the full story

Why Subscribe to

MarketNews.com

MNI is the leading provider

of news and intelligence specifically for the Global Foreign Exchange and Fixed Income Markets, providing timely, relevant, and critical insight for market professionals and those who want to make informed investment decisions. We offer not simply news, but news analysis, linking breaking news to the effects on capital markets. Our exclusive information and intelligence moves markets.

Our credibility

for delivering mission-critical information has been built over three decades. The quality and experience of MNI's team of analysts and reporters across America, Asia and Europe truly sets us apart. Our Markets team includes former fixed-income specialists, currency traders, economists and strategists, who are able to combine expertise on macro economics, financial markets, and political risk to give a comprehensive and holistic insight on global markets.

Markets likely anticipated more of a drop in the 3M benchmark as lead quarterly EDU2 slips 0.005 to 96.465 after latest 3M LIBOR set' slips -0.00272 to 2.73757% this after gapping +0.22829 higher Thu to new 3.5Y high of 2.74029%, benchmark currently up +0.31457 total for the wk.

  • Short end surged higher late Thu after Fed Gov Waller, StL Fed Bullard tamped down on mkt pricing aggressive 100bp hike at July 27 FOMC, both supporting 75bp hike. Though June CPI may have "anchored" Waller's 75bp hike expectation in a couple weeks, he would "lean toward larger, full-point" hike if "retail sales, housing data are 'materially stronger than expected'.
  • Balance of Whites through Reds (EDZ2-EDM4) trade +0.035-0.010 higher, Greens (EDU4-EDM5) steady to +0.005, Blues through Golds (EDU5-EDM7) +0.010-0.035, Golds outperforming.
  • Front end inversion off recent lows: Dec'22/Mar'23 at -0.170 vs. -0.230 Thu. Most inverted calendar spds: EDZ2/EDZ3 at -0.755 vs. -0.810 Thu, EDH3/EDH4 at -0.715. Inversion starts to flatten out in Green Jun'25 vs. Blue Sep +0.020. Outsized put spread trade early Thursday evaporated by late morning as underlying futures in the short end gapped higher as hawkish rate hike expectations cooled suddenly.
  • Some early highlight Eurodollar trade included a buy of 6,200 Sep 95.87/96.12/97.25/97.50 put condors and 21,300 Sep 96.75/Mar 96.12 put calendar spds. Treasury Options more mixed with two-way in 5Y puts: -9,000 FVQ 111.25/111.5 put spds, 6.5 after overnight Blocks: 10,000 FVU 111/111.25 put spds, 5.5 and 12,500 FVU 111.25 puts, 43.5 vs. 111-30.75/0.40%.