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Post-LIBOR Settle Update: Higher For Longer?

US EURODLR FUTURES

Lead quarterly EDU2 holding at 96.635 (+0.010) after latest 3M LIBOR set' climbs +0.02643 to new 14Y high: 3.06957%, +0.11186 total on wk.

  • Balance of Whites (EDZ2-EDM3) trade steady to +0.005, Reds (EDU3-EDM4) -0.005-0.035, Greens through Golds (EDU4-EDM7) -0.045-0.060, Golds underperforming.
  • Current inversion pricing: Mar'23/Jun'23 -0.060 (prior Dec'22/Mar'23 remains disinverted: +0.035); calendar spds: EDZ2/EDZ3 at -0.380, EDH3/EDH4 at -0.580. Inversion flattens out in Blue Jun'26/Gold Sep'27 trading flat.
  • Salient option trade from Thursday - buyer of 70,000 short Dec SOFR 95.50/96.00/96.50 put flys, 8.5. The new position targets Red Dec'23 SOFR underlying futures that were trading at 96.65 at the time - but expire at the same time as front Dec options. Hedging higher rates for longer.

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