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Post-LIBOR Settle Update: Hike Speculation Cools Slightly

US EURODLR FUTURES
Lead quarterly EDU2 holds +0.0025 at 96.665 after latest 3M LIBOR set' climbs +0.00743 to new 14-year high of 2.98400% (+0.06243/wk).
  • Carry-over support in short end after Wed's July FOMC minutes cooled 75bp hike speculation sees Balance of Whites (EDZ2-EDM3) trade +0.020-0.035, Reds (EDU3-EDM4) +0.035-0.015, Greens through Golds (EDU4-EDM7) steady to -0.010.
  • July Minutes: Officials saw risk the Fed could tighten more than necessary; and as the stance of monetary policy tightened further, it likely would become appropriate at some point to slow the pace of policy rate increases while assessing the effects of cumulative policy adjustments on economic activity and inflation."
  • Meanwhile, current inversion pricing: Mar'23/Jun'23 -0.009 (Dec'22/Mar'23 extends to +0.025); calendar spds: EDZ2/EDZ3 at -0.425 vs. -0.520 early Tue, EDH3/EDH4 at -0.620 vs. -0.720. Inversion flattens out in Blues Mar'26/Jun'26 trading flat to +0.005.
  • Wednesday option trade mixed on net after slight pick-up in early call spd buying post-data. Continued put fly unwinds in Sep Eurodollar options: Block, -20,000 Sep 96.12/96.50/96.87 put flys, 19.0 vs. 96.615/0.37%, adds to appr -65k Block sales since Monday, unwinding.
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Lead quarterly EDU2 holds +0.0025 at 96.665 after latest 3M LIBOR set' climbs +0.00743 to new 14-year high of 2.98400% (+0.06243/wk).
  • Carry-over support in short end after Wed's July FOMC minutes cooled 75bp hike speculation sees Balance of Whites (EDZ2-EDM3) trade +0.020-0.035, Reds (EDU3-EDM4) +0.035-0.015, Greens through Golds (EDU4-EDM7) steady to -0.010.
  • July Minutes: Officials saw risk the Fed could tighten more than necessary; and as the stance of monetary policy tightened further, it likely would become appropriate at some point to slow the pace of policy rate increases while assessing the effects of cumulative policy adjustments on economic activity and inflation."
  • Meanwhile, current inversion pricing: Mar'23/Jun'23 -0.009 (Dec'22/Mar'23 extends to +0.025); calendar spds: EDZ2/EDZ3 at -0.425 vs. -0.520 early Tue, EDH3/EDH4 at -0.620 vs. -0.720. Inversion flattens out in Blues Mar'26/Jun'26 trading flat to +0.005.
  • Wednesday option trade mixed on net after slight pick-up in early call spd buying post-data. Continued put fly unwinds in Sep Eurodollar options: Block, -20,000 Sep 96.12/96.50/96.87 put flys, 19.0 vs. 96.615/0.37%, adds to appr -65k Block sales since Monday, unwinding.