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Post-LIBOR Settle Update: 3M Jump, Focus on Dec Hike Pricing

US EURODLR FUTURES

Lead quarterly Dec'22 (EDZ2) reverses bid to -0.015 at 94.94 after latest 3M LIBOR set' jumps +0.11457 to new 14Y high of 4.19371% (+0.28814/wk).

  • Short end starting to price in a little over 75bp hike at Nov FOMC, Dec closer to 75bp after Thu's jump in CPI. Balance of Whites (EDH3-EDU3) from -0.010 to +0.030 lower, Reds (EDZ3-EDU4) +0.040-0.060, Greens through Golds (EDZ4-EDU7) +0.070-0.080 higher.
  • Current inversions: Mar'23/Jun'23 -0.060; Dec'22/Red Dec'23 at -0.330, Mar'23/Red Mar'24 at -0.655, Jun'23/Red Jun'24 at -0.810. Inversion flattens out with Blue Dec'25/Mar'26 both trading 96.270.
  • Option focus, post-CPI: open / buying puts and put spds right after the data followed by unwinds as the rebound in the underlying got underway. Expect to see similar in current session as question over 75bp hike in Dec gets worked out.

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