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Post-LIBOR Settle Update, Sep Expires Soon


Lead quarterly EDU2 trades +0.0275 at 96.61 after latest 3M LIBOR set' climbs +0.02471 to 3.27014% last seen late October 2008. Reminder, Sep futures and options expire in one week.

  • Balance of Whites through Reds (EDZ2-EDM4) have +0.030-0.050, Greens-Golds (EDU4-EDM7) +0.040-0.030.
  • Current inversion pricing: Mar'23/Jun'23 -0.070; EDZ2/EDZ3 at -0.395, EDH3/EDH4 at -0.595. Inversion flattens out with Blue Sep'25/Dec'25 both trading 96.80.

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