Post-LIBOR Settle Update: 3M Gradual Moderation

Lead quarterly EDU2 extends overnight low to 96.515 (-0.045) even after latest 3M LIBOR set' slips -0.02771 to 2.70986% -- continues to moderate but not fast enough apparently after 3M gapped +0.22829 higher last Thu to new 3.5Y high of 2.74029%, +0.31457 total last wk after small move lower last Fri.

• Fed in blackout through July 28, but Fri Fed speak helped temper last week's post-CPI hawkish exp: Atlanta Fed Bostic walked back post-CPI comments that "everything is in play for future policy decisions" that helped spur the 100bp, saying today that the Fed wants "orderly" policy transition, that moving "too drastically" would undermine economy. SF Fed Daly helped temper the hawkish rhetoric as rates pared gains stating she is already "seeing signs inflation is slowing", while concern over recession not high on her list of outcomes.
  
• Balance of Whites through Golds (EDZ2-EDM7) -0.025-0.005, Reds-Greens outperforming. Front end inversion off recent lows: Dec'22/Mar'23 at -0.165 vs. -0.230 Thu. Most inverted calendar spds: EDZ2/EDZ3 at -0.695 vs. -0.810 Thu, EDH3/EDH4 at -0.655. Inversion starts to flatten out in Green Jun'25-vs. Blue Sep +0.010.
  
• Difficult to draw any strong conclusions from the limited FI option volume trade Friday. Limited trade appeared to be focus on unwinding downside (higher Tsy yield) puts as underlying futures, particularly in the short end traded higher as more aggressive rate hike pricing evaporates.
• Highlight Tsy option trade included a sale of 20,000 TYU 115.5/121.5 put over risk reversals from 2-3, and scale seller of over 10,000 FVQ 112 puts from 28.5-22.0.
• Meanwhile a large Sep SOFR Put Fly strip package Block crossed midmorning: 10,000 SFRU2 96.62/96.81/97.00 put flys, 5 w/ 10,000 SFRU2 96.68/96.87/97.06 put flys, 4 w/ 10,000 SFRU2 96.75/96.93/97.12 put flys, 4.