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Post-LIBOR Settle Update: 3M Benchmark Inches Higher

US EURODLR FUTURES
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Lead quarterly Mar'23 (EDH3) -0.015 to 94.975 after 3M LIBOR set' climbs +0.00758 to 4.81529% (+0.02286/wk).

  • Fed funds implied hike for Feb'23 at 27.2bp, Mar'23 cumulative 45.9bp to 4.788%, May'23 54.2bp to 4.871%, terminal at 4.875% in Jun'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) -0.005-0.015, Reds (EDH4-EDZ4) -0.010-0.025, Greens through Golds (EDH5-EDZ7) -0.030-0.040.
  • Current deferred spds vs. prior settle
    • Jun'23/Sep'23: -0.145 vs. -0.150
    • Mar'23/Red Mar'24: -1.090 vs. -1.085
    • Jun'23/Red Jun'24: -1.620 vs. -1.625
  • Option recap: early Wednesday wing trade turned bearish briefly as underlying futures scaled off first half highs. This morning seeing pick-up in policy-pivot call fly and condor buying targeting next two Fed meetings.
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Lead quarterly Mar'23 (EDH3) -0.015 to 94.975 after 3M LIBOR set' climbs +0.00758 to 4.81529% (+0.02286/wk).

  • Fed funds implied hike for Feb'23 at 27.2bp, Mar'23 cumulative 45.9bp to 4.788%, May'23 54.2bp to 4.871%, terminal at 4.875% in Jun'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) -0.005-0.015, Reds (EDH4-EDZ4) -0.010-0.025, Greens through Golds (EDH5-EDZ7) -0.030-0.040.
  • Current deferred spds vs. prior settle
    • Jun'23/Sep'23: -0.145 vs. -0.150
    • Mar'23/Red Mar'24: -1.090 vs. -1.085
    • Jun'23/Red Jun'24: -1.620 vs. -1.625
  • Option recap: early Wednesday wing trade turned bearish briefly as underlying futures scaled off first half highs. This morning seeing pick-up in policy-pivot call fly and condor buying targeting next two Fed meetings.