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Post-LIBOR Settle Update: New Benchmark High

US EURODLR FUTURES
Lead quarterly EDU2 holding +0.010 at 96.545, near overnight high even after latest 3M LIBOR set' climbs +0.04486 to new 22 year high of 2.91157%, benchmark climbed +0.07842 total last wk.
  • Market still working out equilibrium after last Friday's blowout jobs gain of +528k for July vs. +250k est, this morning's modest rebound in lead quarterly after EDU2 fell 0.115 by Friday's close, renewing 75bp hike est for September.
  • Balance of Whites (EDZ2-EDM3) trades +0.010-0.025, Reds through Golds (EDEDU3-EDM7) +0.045-0.070, Greens (EDU4-EDM5) outperforming.
  • Front end inversion bounces slightly: Dec'22/Mar'23 at -0.065 vs. -0.095 early Fri. Most inverted calendar spds extend: EDZ2/EDZ3 at -0.710, EDH3/EDH4 at -0.825. Inversion starts to flatten out in Blues Dec''25 through Mar'26 trading flat at 97.395.
  • Better buyers of FI puts in the latter half of the week made the right call as underlying futures came under heavy pressure early Friday after an unexpectedly strong July employment report.
  • Surge of selling in shorts to intermediates, yield curves extended inversion to new 22 year lows (2s10s -44.034) as pricing of another 75bp rate hike in September returned. Friday's option volume was rather disappointing, however, victim to summer trade malaise.
  • Salient trade included +7,500 October SOFR 96.00/96.25 put spds 1.0 over 97.00 calls as well as a sale of -10,000 March'23 SOFR 98.25 calls .75 over 95.25/95.56/96.00 put flys. An early Eurodollar block post had -11,500 Mar 96.37/96.87 1x2 call spds, 5.0 vs. 11,500 Mar 95.50/96.00 2x1 put spds, 2.0. Meanwhile, Treasury options included +21,000 (7.5k blocked) FVV 111/111.75 put spds, 9.5.
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