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Post-LIBOR Settle Update: Aftermath of CPI Miss


Lead quarterly Dec'22 (EDZ2) bounces to 95.2625 (+0.0075) after latest 3M LIBOR set' falls -0.03271 to 4.73629% (+0.00315/wk) -- aftermath of Tue's lower than exp CPI inflation measure.

  • Fed funds implied hike for Dec'22 at 50.1bp, Feb'23 cumulative 82.6bp (91.4bp pre-CPI) to 4.657%, Mar'23 95.6bp (108.4bp pre-CPI) to 4.788%, terminal at 4.815% in May'23.
  • Balance of Eurodollar Whites-Reds (EDH3-EDU4) +0.030-0.055, Greens-Blues (EDZ4-EDU6) +0.040-0.015, Golds (EDZ6-EDU7) steady to +/-0.005.
  • Current deferred spds vs. prior settle
    • Jun'23/Sep'23: currently -0.170 vs. -0.160
    • Dec'22/Red Dec'23: -0.255 vs. -0.200
    • Mar'23/Red Mar'24: -0.955 vs. -0.935
    • Jun'23/Red Jun'24: -1.360 vs. -1.350
  • Tuesday options summary: Varied trade on moderate volumes Tuesday - no follow through from Monday's better upside call buying even as underlying futures gapped higher following lower than expected Nov CPI data. If there was a discernible theme to option trade ahead Wed's FOMC annc it would be position unwinds, implied vol weaker as accts unwound both call and put positions.

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