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Post-LIBOR Settle Update: Futures Gain, Benchmark Pace Slows

US EURODLR FUTURES

Lead quarterly Dec'22 (EDZ2) trading +0.055 at 95.315, extends top end of 7.5bp range after latest 3M LIBOR set' gains +0.00100 to 3.64186% (+0.01343/wk), new 14Y high.

  • No obvious headline driver overnight as rates recover some lost ground from heavy selling since last Thu. Mon's selling partially tied to London mkt pricing in chance of BOE emergency rate hike (before next BoE in Nov) in aftermath of UK gov's "Growth Plan" (ie fiscal event) and further comments from the Chancellor over the weekend that more tax cuts are to come.
  • Weaker levels on wide range for balance of Whites: (EDH3-EDU3) +0.105-0.170, Reds-Greens (EDZ3-EDU5) trades +0.175-0.120, Blues through Golds (EDZ5-EDU7) +0.115-0.080.
  • Current inversion pricing: Jun'23/Sep'23 -0.095; EDZ2/EDZ3 at -0.110, EDH3/EDH4 at -0.415, EDM3/EDM4 at -0.585. Inversion flattens out with Blue Sep'26/Gold Dec'26 both trading 96.255.
  • Monday option roundup: Session trade remained mixed by the close, moderate downside put buying in addition to fair amount of upside call buying from specs looking to fade the continued selling in underlying vs. pick-up in put and vol buyers amid chatter of BOE emergency rate hike after the CB hiked 50bp last Thu.
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Lead quarterly Dec'22 (EDZ2) trading +0.055 at 95.315, extends top end of 7.5bp range after latest 3M LIBOR set' gains +0.00100 to 3.64186% (+0.01343/wk), new 14Y high.

  • No obvious headline driver overnight as rates recover some lost ground from heavy selling since last Thu. Mon's selling partially tied to London mkt pricing in chance of BOE emergency rate hike (before next BoE in Nov) in aftermath of UK gov's "Growth Plan" (ie fiscal event) and further comments from the Chancellor over the weekend that more tax cuts are to come.
  • Weaker levels on wide range for balance of Whites: (EDH3-EDU3) +0.105-0.170, Reds-Greens (EDZ3-EDU5) trades +0.175-0.120, Blues through Golds (EDZ5-EDU7) +0.115-0.080.
  • Current inversion pricing: Jun'23/Sep'23 -0.095; EDZ2/EDZ3 at -0.110, EDH3/EDH4 at -0.415, EDM3/EDM4 at -0.585. Inversion flattens out with Blue Sep'26/Gold Dec'26 both trading 96.255.
  • Monday option roundup: Session trade remained mixed by the close, moderate downside put buying in addition to fair amount of upside call buying from specs looking to fade the continued selling in underlying vs. pick-up in put and vol buyers amid chatter of BOE emergency rate hike after the CB hiked 50bp last Thu.