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Post-LIBOR Settle Update: Benchmark Bounce

US EURODLR FUTURES

Lead quarterly Dec'22 (EDZ2) slips to 94.86 (-0.020) after latest 3M LIBOR set' climbs +0.04872 to new 14Y high of 4.50843% (+0.06886/wk).

  • A 75bp hike at today's FOMC fully priced, speculation over 50bp "step-down" in Dec cools slightly after Tue's higher than exp JOLTS gains, ADP private data coming up (Oct employment report Friday).
  • Balance of Whites (EDH3-EDU3) trade steady to +0.010, Reds (EDZ3-EDU4) steady to -0.005, Greens through Golds (EDZ4-EDU7) +0.010-0.040, Gold outperforming.
  • Deferred calendar spd update: Mar'23/Jun'23 -0.045; Dec'22/Red Dec'23 at -0.295, Mar'23/Red Mar'24 at -0.730. Inversion flattens out in front half of Blues.
  • Tuesday FI option trade: Mixed two-way trade on net as better upside call volume in early trade gave way to better put and put spread buying as support for underlying futures evaporated post JOLTS.

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