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Post-LIBOR Settle Update, 3M Jumps Higher

US EURODLR FUTURES

Lead quarterly EDH2 actually climbed back to steady even after latest 3M LIBOR set' jumps +0.02400 to 0.33900%, up +0.02243 for the week as the benchmark rises to highest level since May 2020.

  • Pre-employment data unwinds: Flurry of EDH2 buying from 99.465 to .475 after the set' as accts cover/fade marginal bets of more than 25bp hike in March. That said, Whites fully pricing in 125bps in rate hikes by year end (EDZ2 98.50).
  • Whites (EDH2-EDZ2) through Greens (EDH4-EDZ4) trading weaker, Reds (EDH3-EDZ3) underperforming as tighter policy extends to 2023. Firmer levels in Blues (EDH5-EDZ5) through Golds (EDH6-EDZ6).
  • Policy uncertainty/inflection point eases: Green Dec'24 (98.00) back inverted vs. Blue Mar'25, steady to mildly higher vs. balance of strip (+0.000-0.010).
  • Option accounts unwound took profits on some put positions on Thu's FI sell-off in response to BoE's hawkish hike. Mar put open interest drops drops 9.5k, Dec -25.5k, while Jun gains 38k and Sep 10k.
  • Today's Jan employ data key metric for March positioning: weak number will kill any thought of 50bp hike, June more likely of 50bp go, data dependent.
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