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Post-LIBOR Settle Update: Benchmark Bounce

US EURODLR FUTURES

Lead quarterly EDU2 trades 96.540 (-0.020) after latest 3M LIBOR set' bounces +0.02185 to 2.73171% (-0.00586/wk) -- just off last Thursday's 3Y high of 2.74029%.

  • Balance of Whites through Reds (EDZ2-EDM4) trades -0.005-0.010, Greens through Golds (EDU4-EDM7) -0.015-0.040, Blues underperforming.
    Front end inversion steady/off last week's lows: Dec'22/Mar'23 at -0.165 vs. -0.230 last Thu. Most inverted calendar spds: EDZ2/EDZ3 at -0.640 vs. -0.810 Thu, EDH3/EDH4 at -0.590. Inversion starts to flatten out in Green Jun'25 vs. Blue Sep +0.005.
  • Front end inversion steady/off last week's lows: Dec'22/Mar'23 at -0.165 vs. -0.230 last Thu. Most inverted calendar spds: EDZ2/EDZ3 at -0.640 vs. -0.810 Thu, EDH3/EDH4 at -0.590. Inversion starts to flatten out in Green Jun'25 vs. Blue Sep +0.005.
  • Monday's scant overall option volumes appeared to favor bullish/upside call plays, fading the modest sell-off in underlying futures on the day. Salient flow limited to Tsy options, largest trade a ratio 10Y note call fly: 5,000 TYU2 118.5/120/121 broken call flys on a 1x3x2 ratio, 14 net/belly over, reference futures at 118-09. Earlier trade included 6,700 TYQ/wk1 TY 119.5 call spds and 4,500 TYQ 120.5/122.5/124.5 1x1x2 call trees
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