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Post-LIBOR Settle Update: Short End Pressed Ahead July NFP

US EURODLR FUTURES

Lead quarterly EDU2 trades -0.020 at 96.630, holding overnight low after latest 3M LIBOR set' climbs +0.00342 to new 22 year high of 2.86671%, +0.07842 total for wk.

  • After modest rebound Thu, pressure in short end resumes after multiple Fed speakers (Daly, Mester, Evans, Kashkari) this week have reminded markets inflation is too high and that 75bp hike in Sep not off the table. Main focus on this morning's July employment report (+250k est vs. +372k prior) as balance of Whites (EDZ2-EDM3) trades -0.035-0.050, Greens through Golds (EDEDU3-EDM7) -0.030-0.045, Green (EDU4-EDM5) outperforming.
  • Front end inversion holding: Dec'22/Mar'23 at -0.090. Most inverted calendar spds extend: EDZ2/EDZ3 at -0.685, EDH3/EDH4 at -0.765. Inversion starts to flatten out in Blues Sep''26 through Mar'26 trading flat at 97.480.
  • Thursday's FI option trade mirrored the prior session on lighter volumes, active accounts close to the sidelines ahead of Friday's July employment report (+250k est). Traders reported carry-over put buying despite a modest rebound in underlying futures as mildly hawkish Fed speak moderated slightly.
  • SOFR volumes outpaced for the second consecutive session, salient trade included Block buys of 20,000 short Aug 96.75 puts from 4.5-5.0, ngoing/adds to 12.5k bought Wed, opener w/OI 19.465. Limited downside put fly buy of 5,000 SFRU2 96.62/96.81/97.00 put flys, 6.0 net. Eurodollar options saw modest buying in October 95.75 puts in the first half.
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