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Post-LIBOR Settle Update: Benchmark Back to Making New Highs

US EURODLR FUTURES

Lead quarterly EDU2 trades +0.015 at 96.705, little off overnight highs after latest 3M LIBOR set' climbs +0.00486 to 2.80700%, +0.01871 for the week as it climbs to new 3.5Y high. The 3M benchmark had gapped lower Thu after the FOMC delivered a second consecutive 75bp hike while scaling back hawkish forward guidance for Sep.

  • Balance of Whites through Blues (EDU2-EDM6) trade +0.025-0.045, Golds (EDU6-EDM7) +0.045-0.050.
  • Front end inversion extends: Dec'22/Mar'23 at -0.170. Most inverted calendar spds: EDZ2/EDZ3 at -0.725, EDH3/EDH4 at -0.710. Inversion starts to flatten out in Green Jun'25 vs. Blue Sep trading steady.
  • Limited option volumes reported Monday, two-way trade as underlying futures traded mixed on narrow range in Whites to Reds. Salient trade includes 5,000 Sep 99.50/99.75 put spds, 18,500 Dec 97.12/97.25 call spds, 2,000 short Sep 96.37/96.62 put spds.
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