Post-LIBOR Settle Update: Calendar Spds Extend Inversion

Lead quarterly Dec'22 (EDZ2) extends low to 94.940 (-0.050) after latest 3M LIBOR set' climbs +0.02486 to new 14 year high of 4.43957% (+0.04029/wk).

• A 75bp hike at next week's FOMC fully priced, pricing another 75bp hike in Dec debatable after Wed's lower than exp 50bp hike to 3.75% from the BoC while the ECB hiked 75bp Thu but signaled data dependence.
• Futures unwinding appr half of Thu's move this morning, however w/balance of Whites (EDH3-EDU3) trade -0.060-0.080, Reds (EDZ3-EDU4) -0.090-0.105, Greens through Golds (EDZ4-EDU7) -0.120-0.120.
• Deferred calendar spds extend inversion to new cycle lows this morning: indicating a larger ease in current hikes over the latter half of 2023: Mar'23/Jun'23 -0.095; Dec'22/Red Dec'23 at -0.415, Mar'23/Red Mar'24 at -0.725, Jun'23/Red Jun'24 at -0.815. Inversion flattens out in front half of Blues.
• Thursday FI option trade centered on two-way call positioning as opinion over FOMC hike pricing into year-end fluctuated. Much better Tsy option volumes, Eurodollar volumes scant.
  
  • Some highlight trade/blocks included: +10,000 TYZ2 113.25 calls, 35 ref 111-21 followed by another 12k on screen soon after. Same premium paid for the TYZ 113 calls a few minutes prior - moving up strikes as underlying continues to rally.