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Post-LIBOR Settle Update: 3M Benchmark Reverses Wk Gain

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) climbs +0.015 at 94.98 after 3M LIBOR set' falls -0.03728 to off Thu's 14 year high to 4.79243% (-0.01743/wk).

  • Fed funds implied hike for Feb'23 27.6bp, Mar'23 cumulative 46.9bp to 4.798%, May'23 56.8bp to 4.897%, terminal at 4.90% in Jun'23/Jul'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) steady to +/-0.010, Reds (EDH4-EDZ4) -0.010-0.015, Greens (EDH5-EDZ5) steady to +0.005, Blues through Golds (EDH6-EDZ7) -0.010-0.030.
  • Current deferred spds vs. prior settle
    • Jun'23/Sep'23: at -0.140 vs. -0.150
    • Mar'23/Red Mar'24: -0.995 vs. -1.020
    • Jun'23/Red Jun'24: -1.515 vs. -1.540
  • Thursday option roundup: Robust volumes on mixed trade Thursday - fading the eventual post-CPI rally, SOFR and Tsy put volumes gained in the second half. One-day Tsy option trade late Thu: +48,300 Wk2 TY 114 puts 1 ref 115-09.5 (expire today).

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