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Post-LIBOR Settle Update: New Benchmark High

US EURODLR FUTURES

Lead quarterly EDU2 trades -0.005 at 96.6475 after latest 3M LIBOR set' climbs +0.01871 to new 14-year high of 2.96057% (+0.03900/wk).

  • Balance of Whites through Greens (EDZ2-EDM5) trade steady to -0.025, Blues through Golds (EDU4-EDM7) +0.005-0.015, Golds outperforming.
  • Markets still leaning towards 50bp as more likely than 75bp at next FOMC on Sep 21, but well aware of amount of time and data between now and then. Jully FOMC minutes release tomorrow may give additional clarity.
  • In the meantime, inversions near yesterday's levels: Dec'22/Mar'23 currently flat, Mar'23/Jun'23 -0.090; calendar spds: EDZ2/EDZ3 at -0.520 vs. -0.715 a week ago, EDH3/EDH4 at -0.720 vs. -0.820. Inversion flattens out in Blues Mar'26/Jun'26 trading flat to +0.005.
  • Fixed income option accounts took the opportunity to buy more downside put positions at cheaper levels Monday as underlying futures remained strong in late trade. Eurodollar and it's soon to replace SOFR options saw better put fly and condor option plays on the day while Treasury option volumes lagged.
  • Salient trade: 10,000 SFRZ2 95.87/96.00/96.25/96.37 put condors, 3.5 vs. 97.50 calls at 3.25; 40,000 Sep Eurodollar 96.12/96.50/96.87 put flys, 19.25 vs. 96.65/0.68% and 20,000 Sep 95.50/96.25/97.00 put flys, 34.5 vs. 96.6475/0.98%.

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Lead quarterly EDU2 trades -0.005 at 96.6475 after latest 3M LIBOR set' climbs +0.01871 to new 14-year high of 2.96057% (+0.03900/wk).

  • Balance of Whites through Greens (EDZ2-EDM5) trade steady to -0.025, Blues through Golds (EDU4-EDM7) +0.005-0.015, Golds outperforming.
  • Markets still leaning towards 50bp as more likely than 75bp at next FOMC on Sep 21, but well aware of amount of time and data between now and then. Jully FOMC minutes release tomorrow may give additional clarity.
  • In the meantime, inversions near yesterday's levels: Dec'22/Mar'23 currently flat, Mar'23/Jun'23 -0.090; calendar spds: EDZ2/EDZ3 at -0.520 vs. -0.715 a week ago, EDH3/EDH4 at -0.720 vs. -0.820. Inversion flattens out in Blues Mar'26/Jun'26 trading flat to +0.005.
  • Fixed income option accounts took the opportunity to buy more downside put positions at cheaper levels Monday as underlying futures remained strong in late trade. Eurodollar and it's soon to replace SOFR options saw better put fly and condor option plays on the day while Treasury option volumes lagged.
  • Salient trade: 10,000 SFRZ2 95.87/96.00/96.25/96.37 put condors, 3.5 vs. 97.50 calls at 3.25; 40,000 Sep Eurodollar 96.12/96.50/96.87 put flys, 19.25 vs. 96.65/0.68% and 20,000 Sep 95.50/96.25/97.00 put flys, 34.5 vs. 96.6475/0.98%.