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Post-LIBOR Settle Update: Calendar Spd Inversions Deepen

US EURODLR FUTURES

Lead quarterly Dec'22 (EDZ2) trades -0.015 at 94.885 after latest 3M LIBOR set' climbs +0.01971 to new 14Y high of 4.64971% (+0.09942/wk).

  • Focus on upcoming CPI data rebutted by multiple Fed speakers while Fed funds implied hike for Dec'22 holds stable at 57.5bp, Feb'23 cumulative 96.3bp to 4.81%, terminal 5.08% in Jun'23.
  • Balance of Whites (EDH3-EDU3) trade steady to -0.015, Reds through Golds (EDZ3-EDU7) +0.010-0.040, Golds outperforming.
  • Deferred calendar spds extend inversions: Jun'23/Sep'23 -0.21 from -0.18 early Wed; Dec'22/Red Dec'23 at -0.18 (-0.105 prior), Mar'23/Red Mar'24 at -0.70 (-0.615 prior), Jun'23/Red Jun'24 at -0.945 (-0.88 prior). Inversion flattens out in mid-Blues: EDH6-EDM6 both 96.19.
  • Wednesday option roundup: Trade turned mixed Wednesday from more consistent upside call buying in the prior session. Implied vol buoyed as underlying futures sold off following a poorly received 10Y note auction, early vol sellers evaporating ahead Thursday's key CPI data.
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Lead quarterly Dec'22 (EDZ2) trades -0.015 at 94.885 after latest 3M LIBOR set' climbs +0.01971 to new 14Y high of 4.64971% (+0.09942/wk).

  • Focus on upcoming CPI data rebutted by multiple Fed speakers while Fed funds implied hike for Dec'22 holds stable at 57.5bp, Feb'23 cumulative 96.3bp to 4.81%, terminal 5.08% in Jun'23.
  • Balance of Whites (EDH3-EDU3) trade steady to -0.015, Reds through Golds (EDZ3-EDU7) +0.010-0.040, Golds outperforming.
  • Deferred calendar spds extend inversions: Jun'23/Sep'23 -0.21 from -0.18 early Wed; Dec'22/Red Dec'23 at -0.18 (-0.105 prior), Mar'23/Red Mar'24 at -0.70 (-0.615 prior), Jun'23/Red Jun'24 at -0.945 (-0.88 prior). Inversion flattens out in mid-Blues: EDH6-EDM6 both 96.19.
  • Wednesday option roundup: Trade turned mixed Wednesday from more consistent upside call buying in the prior session. Implied vol buoyed as underlying futures sold off following a poorly received 10Y note auction, early vol sellers evaporating ahead Thursday's key CPI data.