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Post-LIBOR Settle Update: 3M Recedes, Terminal Off Thu High

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) 94.935 (+0.015) after 3M LIBOR set' inches -0.00171 off Thu's 16 year high of 4.98571% to 4.98400% this morning (+0.03057/wk).

  • Fed funds implied hike for Mar'23 at 30.8bp, May'23 cumulative 57.4bp to 5.148%, Jun'23 74.9bp to 5.324%, terminal at 5.430% in Oct'23 vs. early Thursday's 5.51% cycle high.
  • Balance of Eurodollar Whites (EDM3-EDZ3) +0.030-0.035, Reds (EDH4-EDZ4) +0.045-0.060, Greens through Golds (EDH5-EDZ7) +0.060-0.070.
  • Current deferred spds vs. prior settles:
    • Jun'23/Sep'23: +0.160 vs. +0.155
    • Mar'23/Red Mar'24: +0.190 vs. +0.215
    • Jun'23/Red Jun'24: -0.645 vs. -0.625
  • Option roundup: Option trade more mixed Thursday, some chunky put fly trade in SOFR options (+50,000 SFRJ3 94.12/94.25/94.37 put flys, 1.0 ref 94.575) as option accts continued to hedge downside risk in face of stubborn inflation.

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