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Post-LIBOR Settle Update: 3M Dips, While Futures Grind Lower

US EURODLR FUTURES

Grinding lower: lead quarterly Dec'22 (EDZ2) trading -0.075 at 95.23 -- overnight low even after latest 3M LIBOR set' slips -0.01300 to 3.62843% (+0.06314/wk) - fix recedes while market continues to price in more hawkish guidance after Wed's FOMC.

  • Balance of Whites (EDH3-EDU3) -0.080-0.125, Reds-Greens (EDZ3-EDU5) trades -0.150-0.160, Blues (EDZ5-EDU6) -0.140-0.115, Golds (EDZ6-EDU7) -0.105-0.085.
  • Current inversion pricing: Jun'23/Sep'23 -0.125; EDZ2/EDZ3 at -0.085, EDH3/EDH4 at -0.525. Inversion flattens out with Blue Mar'26/Jun'26 both trading 96.235.
  • Thu's option roundup: SOFR put options lead with ongoing "higher for longer" rate hike insurance hedging. Salient trade:
    • Ongoing buyer 5,000 SFRZ3 95.00/95.50/96.00 put flys, 8.5 at 1144-1145ET. Ongoing interest in the limited downside structure targeting late 2023: Paper bought +40,000 SFRZ3 (Red Dec) 95.00/95.50/96.00 put flys, 7.0-7.5 on Sep 14: in addition to 30k back in mid-July from 4.0-3.5 Last month included a buy of +70,000 short Dec SOFR 95.50/96.00/96.50 put flys at 8.5 back on Aug 25 (expires same time as SFRZ2 futures but uses SFRZ3 as underlying.
    • In other SOFR trade, put spd buy funded via call spd sale block at 1312:42ET: +20,000 SFRH3 94.25/94.62/95.25 put flys 2.25 over -20,000 SFRH3 95.50/95.87 call spds.
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Grinding lower: lead quarterly Dec'22 (EDZ2) trading -0.075 at 95.23 -- overnight low even after latest 3M LIBOR set' slips -0.01300 to 3.62843% (+0.06314/wk) - fix recedes while market continues to price in more hawkish guidance after Wed's FOMC.

  • Balance of Whites (EDH3-EDU3) -0.080-0.125, Reds-Greens (EDZ3-EDU5) trades -0.150-0.160, Blues (EDZ5-EDU6) -0.140-0.115, Golds (EDZ6-EDU7) -0.105-0.085.
  • Current inversion pricing: Jun'23/Sep'23 -0.125; EDZ2/EDZ3 at -0.085, EDH3/EDH4 at -0.525. Inversion flattens out with Blue Mar'26/Jun'26 both trading 96.235.
  • Thu's option roundup: SOFR put options lead with ongoing "higher for longer" rate hike insurance hedging. Salient trade:
    • Ongoing buyer 5,000 SFRZ3 95.00/95.50/96.00 put flys, 8.5 at 1144-1145ET. Ongoing interest in the limited downside structure targeting late 2023: Paper bought +40,000 SFRZ3 (Red Dec) 95.00/95.50/96.00 put flys, 7.0-7.5 on Sep 14: in addition to 30k back in mid-July from 4.0-3.5 Last month included a buy of +70,000 short Dec SOFR 95.50/96.00/96.50 put flys at 8.5 back on Aug 25 (expires same time as SFRZ2 futures but uses SFRZ3 as underlying.
    • In other SOFR trade, put spd buy funded via call spd sale block at 1312:42ET: +20,000 SFRH3 94.25/94.62/95.25 put flys 2.25 over -20,000 SFRH3 95.50/95.87 call spds.