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Post-LIBOR Settle Update: 3M Benchmark Gaps Higher

US EURODLR FUTURES

Lead quarterly EDU2 trading -0.0175 at 96.605 after latest 3M LIBOR set' climbs +0.04443 to new 14Y high: 3.14414% (+0.07457/wk).

  • Off overnight lows, hawkish expectations of 75bp hike from ECB next week, not to mention "higher for longer" mantra from the Fed weighing on short with the balance of Whites (EDZ2-EDM3) trade -0.005-0.015, Reds through Greens (EDU3-EDM5) -0.020-0.040, Blues through Golds (EDU5-EDM7) -0.050-0.085, Golds underperforming.
  • Current inversion pricing: Mar'23/Jun'23 -0.025; calendar spds: EDZ2/EDZ3 at -0.310, EDH3/EDH4 at -0.570. Point where long end inversion flattens out has shifter from Golds back to Blues with Blue Dec'25/Mar'26 flat (both trade 96.875).
  • Wednesday option roundup: Large Eurodollar put spds traded around midsession, targeting year end "higher for longer" rate hike speculation. Salient trade: 30,000 Dec 99.00/99.25 put spds, +30,000 Dec 99.00/99.75 put spds, 77.0, 30,000 Dec 99.00/99.62 put spds, 7,000 short Mar 98.00/98.75 put spds.

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