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Post-LIBOR Settle Update: 3M Climbs to New 14Y High

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Lead quarterly Mar'23 (EDH3) slips -0.015 to 95.03 after 3M LIBOR set' climbs +0.02800 to new 14-year high of 4.83414% (+0.00885/wk).

  • Fed funds implied hike for Mar'23 at 19.7bp, May'23 cumulative 29.7bp to 4.882%, Jun'23 30.6bp to 4.892%, terminal at 4.89% in Jun'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) -0.020-0.010, Reds (EDH4-EDZ4) -0.005, Greens through Golds (EDH5-EDZ7) steady to +/-0.005.
  • Current deferred spds vs. prior settles:
    • Jun'23/Sep'23: -0.100 vs. -0.095
    • Mar'23/Red Mar'24: -0.920 vs. -0.910
    • Jun'23/Red Jun'24: -1.470 vs. -1.455
  • Option recap: Second consecutive session of heavier option volumes Thursday, SOFR and Treasury derivatives started off with better low delta put buying/positioning while the former segued to better calls (mixed) and vol sellers in the second half. Chunky vol sales included -20k Dec'23 SOFR 95.68 and -15k 95.75 straddles, and -5k Red Dec'24 97.12 straddles at 115.0.
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Lead quarterly Mar'23 (EDH3) slips -0.015 to 95.03 after 3M LIBOR set' climbs +0.02800 to new 14-year high of 4.83414% (+0.00885/wk).

  • Fed funds implied hike for Mar'23 at 19.7bp, May'23 cumulative 29.7bp to 4.882%, Jun'23 30.6bp to 4.892%, terminal at 4.89% in Jun'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) -0.020-0.010, Reds (EDH4-EDZ4) -0.005, Greens through Golds (EDH5-EDZ7) steady to +/-0.005.
  • Current deferred spds vs. prior settles:
    • Jun'23/Sep'23: -0.100 vs. -0.095
    • Mar'23/Red Mar'24: -0.920 vs. -0.910
    • Jun'23/Red Jun'24: -1.470 vs. -1.455
  • Option recap: Second consecutive session of heavier option volumes Thursday, SOFR and Treasury derivatives started off with better low delta put buying/positioning while the former segued to better calls (mixed) and vol sellers in the second half. Chunky vol sales included -20k Dec'23 SOFR 95.68 and -15k 95.75 straddles, and -5k Red Dec'24 97.12 straddles at 115.0.