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Post-LIBOR Settle Update: 3M Recedes, Implied Hike Steady

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) gains 0.005 to 95.01 after 3M LIBOR set' recedes -0.01172 to 4.81357% (+0.00972 total last wk).

  • Fed funds implied hike for Feb'23 steady at 25.8bp, Mar'23 cumulative 46.9bp to 4.798%, May'23 57.4bp to 4.903%, terminal at 4.915% in Jun'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) -0.005-0.035, Reds through Greens (EDH4-EDZ5) -0.055-0.065, Blues through Golds (EDH6-EDZ7) -0.050-0.045.
  • Current deferred spds vs. prior settles - resumes climb off deeper inversion:
    • Jun'23/Sep'23: -0.075 vs -0.085
    • Mar'23/Red Mar'24: -0.755 vs. -0.815
    • Jun'23/Red Jun'24: -1.290 vs. -1.345
  • Option recap: Low delta put and put spreads reported Friday, lighter volumes ahead the weekend. Underlying futures weaker but well off early session lows, cautious hedging ahead next Wednesday's FOMC policy anns. Salient trade:
  • over +10,000 SFRK3 94.75/94.87 5x4 put spds, 3.25 (active strikes after paper bought SFRK3 94.75/95.00 2x1 put spds and 94.75/94.87/95.00 put flys over last week; OI 57/686 in 94.75 put, 110,324 in 94.87 put)
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