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Post-LIBOR Settle Update: 3M Rebound

US EURODLR FUTURES

Lead quarterly Dec'22 (EDZ2) dips -0.010 to 94.875 after latest 3M LIBOR set' rebounds +0.03114 to 4.35800% -- just off last Fri's 14Y high of 4.35843% after Mon's lower set.

  • A 75bp hike at Nov FOMC remains a lock, while pricing another 75bp in Dec continues to ease off last week's lvls after SF Fed Daly voiced concern over tightening monetary policy too much last Friday.
  • Balance of Whites (EDH3-EDU3) trade +0.005-0.020, Reds (EDZ3-EDU4) +0.035-0.060, Greens through Golds (EDZ4-EDU7) +0.065-0.075.
  • Current inversions: Mar'23/Jun'23 -0.060; Dec'22/Red Dec'23 at -0.325, Mar'23/Red Mar'24 at -0.640. Inversion flattens out in Blue Dec'25-Blue Mar'26 trading 96.040.
  • Option positioning: Pick-up in upside call trade following Fri's strong rebound in 2s-10s amid speculation over a 75bps hike at year end (WSJ/Timiraos) underscored by midday comments from SF Fed Daly (FOMC needs to start considering a slowing the pace of interest rate hikes in order to avoid tightening monetary policy too much).

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