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Post-LIBOR Settle Update: Benchmark Makes New High Again

US EURODLR FUTURES

Lead quarterly EDU2 steady at 96.6275 after latest 3M LIBOR set' climbs +0.01715 to new 14Y high of 2.99686%, +0.03915 total on wk.

  • Balance of Whites through Reds (EDZ2-EDM4) trade -0.005 to +0.015, Greens through Golds (EDU4-EDM7) +0.005-0.030, Golds marginally outperforming.
  • Current inversion pricing: Mar'23/Jun'23 -0.055 (Dec'22/Mar'23 climbs to +0.055); calendar spds: EDZ2/EDZ3 at -0.350, EDH3/EDH4 at -0.575. Inversion flattens out in Blues: Dec'25/Mar'26 trading +0.020.
  • Notable pick-up in Treasury option put volume Monday, albeit September expiry's tied to squaring ahead of this Friday's option expiration. Downside put buying picked up as underlying futures price in higher chances of rate hikes partially tied to Europe's inflation linked energy price surge.
  • Highlight trade included Block buys of 15,000 each TYX 115 puts, 32 vs. 118-04/0.21% and TYV 116 puts, 28 vs. 118-03.5/0.24%, while paper bought +15,000 TYX 116/117 put spds, 19-20.
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