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Post-LIBOR Settle Update: New Benchmark High

US EURODLR FUTURES

Lead quarterly Dec'22 (EDZ2) currently -0.030 at 95.30 after latest 3M LIBOR set' climbs +0.06872 to new 14Y high of 3.74286% (+0.11443/wk).

  • Rates scaling back fair portion of Wed's BOE buy program-tied rally w/ PM Liz Truss continued defense of the mini-budget on BBC radio, strong regional German CPI overnight adding to moves.
  • Balance of Whites (EDH3-EDU3) -0.065-0.090, Reds (EDZ3-EDU4) -0.095-0.135, Greens-Blues (EDZ4-EDU6) -0.130-0.140, Golds (EDZ5-EDU7) -0.135-0.125.
  • Current inversion pricing: Mar'23/Jun'23 -0.035; EDZ2/EDZ3 at -0.205, EDH3/EDH4 at -0.390, EDM3/EDM4 at -0.525. Inversion flattens out with Blue Dec'25/Mar'26 both trading 96.18.
  • Wednesday option roundup: Theme of the day: Taking profits by accts that had sold a wide array of puts/put spds anticipating some measure of a rebound in the underlying on hopes the BoE would take action to calm markets following last Fri's tax cut plan. Multiple unwinds in 10- and 30Y spreads, upside call buying on the day.
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Lead quarterly Dec'22 (EDZ2) currently -0.030 at 95.30 after latest 3M LIBOR set' climbs +0.06872 to new 14Y high of 3.74286% (+0.11443/wk).

  • Rates scaling back fair portion of Wed's BOE buy program-tied rally w/ PM Liz Truss continued defense of the mini-budget on BBC radio, strong regional German CPI overnight adding to moves.
  • Balance of Whites (EDH3-EDU3) -0.065-0.090, Reds (EDZ3-EDU4) -0.095-0.135, Greens-Blues (EDZ4-EDU6) -0.130-0.140, Golds (EDZ5-EDU7) -0.135-0.125.
  • Current inversion pricing: Mar'23/Jun'23 -0.035; EDZ2/EDZ3 at -0.205, EDH3/EDH4 at -0.390, EDM3/EDM4 at -0.525. Inversion flattens out with Blue Dec'25/Mar'26 both trading 96.18.
  • Wednesday option roundup: Theme of the day: Taking profits by accts that had sold a wide array of puts/put spds anticipating some measure of a rebound in the underlying on hopes the BoE would take action to calm markets following last Fri's tax cut plan. Multiple unwinds in 10- and 30Y spreads, upside call buying on the day.