Post-LIBOR Settle Update: New 3M Benchmark High

Lead quarterly EDU2 trades steady to +0.050 at 96.535 after latest 3M LIBOR set' bounces +0.02729 to new 3Y high of 2.75900% (+0.02143/wk).

• Rate hike expectations of 75bp next week holding steady, while pricing of a third consecutive 75bp hike in Sep moderates slightly as balance of Whites (EDZ2-EDM3) trade +0.025-0.045, Reds through Greens (EDZ2-EDM5) +0.070-0.050, Blues through Golds (EDU5-EDM7) +0.045-0.030.
• Front end inversion steady/off last week's lows: Dec'22/Mar'23 at -0.16 vs. -0.230 last Thu. Most inverted calendar spds: EDZ2/EDZ3 at -0.645 vs. -0.810 Thu, EDH3/EDH4 at -0.605. Inversion starts to flatten out in Green Jun'25 vs. Blue Sep trading even..
• Light summer volume on narrow ranges and lower implieds persisted Tuesday, Trade rotated around downside Treasury puts as underlying futures held mildly lower across the curve.
• Highlight trade included early buy of +25,000 TYU2 116.5/118 2x1 put spds, buying one leg over for net of 0; 5Y options had 5,000 FVQ 111/111.25 put spds trade at 3.5 ref 111-21.75, 9,500 FVU 109.5 puts trade 11.5 ref 111-20.5.