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Post-LIBOR Settle Update: Benchmark Rebounds

US EURODLR FUTURES

Lead quarterly EDU2 trades -0.015 at 96.685 after latest 3M LIBOR set' rebounds +0.01385 to 2.80214%, still off last Wed's 3.5Y high: 2.80586% (+0.02200 total last wk). The 3M benchmark had gapped lower Thu after the FOMC delivered a second consecutive 75bp hike while scaling back hawkish forward guidance for Sep.

  • Nevertheless, balance of Whites through Reds (EDU2-EDM4) trade -0.015-0.030, Greens through Golds (EDU4-EDM7) steady to +/-0.010 with Blues outperforming.
  • Front end inversion extends: Dec'22/Mar'23 at -0.175. Most inverted calendar spds: EDZ2/EDZ3 at -0.565, EDH3/EDH4 at -0.705. Inversion starts to flatten out in Green Jun'25 vs. Blue Sep trading steady.
  • Limited option volumes reported Friday, two-way trade as underlying futures climbed off late overnight lows. Salient trade: -4,500 Dec 97.37 straddles, 1,250 Green Sep 96.87/97.00/97.12/97.25 put condors, Block, 7,000 98.00/99.00 call spds, 2.0 ref 96.965.

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