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Post-LIBOR Settle Update: 3M Back Over 3%

US EURODLR FUTURES

Lead quarterly EDU2 gains +0.0075 to 96.645 after latest 3M LIBOR set' climbs +0.01314 to 3.01000%, +0.05229 total on wk as benchmark climbs over 3.0% for first time since late October 2008.

  • Balance of Whites (EDZ2-EDM3) trades steady to -0.005, Reds through Blues (EDU3-EDM6) trade steady to +0.015, Golds (EDU6-EDM7) -0.005-0.010.
  • Current inversion pricing: Mar'23/Jun'23 -0.075 (Dec'22/Mar'23 +0.045); calendar spds: EDZ2/EDZ3 at -0.410, EDH3/EDH4 at -0.620. Inversion flattens out in Blues: Mar'26/Jun'26 trading flat.
  • Mixed trade on light overall volume noted Tuesday, accounts near the sidelines ahead Friday's annual eco-summit in Jackson Hole. SOFR options saw better downside put structure buying while Eurodollar and Treasury options saw better upside call buying as short end rates gained on weaker PMIs and New Home sales.
  • SOFR Options: Block, total 30,000 SFRH3 96.00/96.25 put spds 11.25 on splits. Eurodollar Options: +10,000 short Sep 96.37/96.50/96.62/96.75 call condors, 2.0 vs. 96.21/0.05%.
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