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Post-LIBOR Settle Update: 3M Benchmark Bounce

US EURODLR FUTURES

Lead quarterly Dec'22 (EDZ2) trades -0.025 at 94.99 (still well above 94.885 pre-CPI last Thu) after latest 3M LIBOR set' rebounds +0.03772 to 4.64386% (compares to last Thu's 14Y high of 4.64971%).

  • Fed funds implied hike for Dec'22 at 50.9bp vs. 57.5bp early Thu, Feb'23 cumulative 86.6bp to 4.714% (vs. 96.3bp to 4.81% pre-CPI), terminal 4.93% in Jun'23 (5.08% pre-CPI)
  • Balance of Whites (EDH3-EDU3) currently -0.045-0.080, Reds through Golds (EDZ3-EDU7) currently -0.080-0.070.
    • Mar'23/Jun'23 steady vs. -0.025 prior,
    • Jun'23/Sep'23 -0.240 vs. -0.265;
    • Dec'22/Red Dec'23 at -0.3425 vs. -0.365,
    • Mar'23/Red Mar'24 at -0.870 vs. -0.890,
    • Jun'23/Red Jun'24 at new cycle low of -1.135 vs. -1.110 prior.
  • Inversion flattens out in early Blues: EDZ5-EDH6 both 96.46.
  • Robust option trade Friday, despite the Veterans Day bank holiday hampering underlying futures volumes (TYZ2<650k by the close). Mixed flow appeared to favor downside put buying in SOFR and Treasury 10Y options, carry-over vol selling in the former (-17,750 SFRU3 95.37 straddles, 82.0 (-34,750 SFRU3 95.50 straddles yesterday from 84.5-83.0).

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