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Post-LIBOR Settle Update: Calendar Spds Extend Inversion

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Lead quarterly Dec'22 (EDZ2) dips -0.005 to 94.88 after latest 3M LIBOR set' climbs +0.03800 to new 14Y high of 4.63000% (+0.07971/wk).

  • Fed funds implied hike for Dec stable at 56.5bp from 57.0bp earlier.
  • Balance of Whites (EDH3-EDU3) trades -0.015-0.020, Reds through Golds (EDZ3-EDU7) steady to +0.020, Reds outperforming.
  • Deferred calendar spds extend inversions: Jun'23/Sep'23 -0.18; Dec'22/Red Dec'23 at -0.105, Mar'23/Red Mar'24 at -0.615, Jun'23/Red Jun'24 at -0.880. Inversion flattens out in mid-Blues: EDH6-EDM6 both 96.13.
  • Tuesday option roundup: More consistent upside call and call spread buying reported Tuesday, though overall volumes fairly muted. Caution ahead Thursday's CPI inflation metric to gauge year-end policy stance. Salient trade:
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Lead quarterly Dec'22 (EDZ2) dips -0.005 to 94.88 after latest 3M LIBOR set' climbs +0.03800 to new 14Y high of 4.63000% (+0.07971/wk).

  • Fed funds implied hike for Dec stable at 56.5bp from 57.0bp earlier.
  • Balance of Whites (EDH3-EDU3) trades -0.015-0.020, Reds through Golds (EDZ3-EDU7) steady to +0.020, Reds outperforming.
  • Deferred calendar spds extend inversions: Jun'23/Sep'23 -0.18; Dec'22/Red Dec'23 at -0.105, Mar'23/Red Mar'24 at -0.615, Jun'23/Red Jun'24 at -0.880. Inversion flattens out in mid-Blues: EDH6-EDM6 both 96.13.
  • Tuesday option roundup: More consistent upside call and call spread buying reported Tuesday, though overall volumes fairly muted. Caution ahead Thursday's CPI inflation metric to gauge year-end policy stance. Salient trade: