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Post-LIBOR Settle Update: Dec'22 Futures/Options Expiring

US EURODLR FUTURES

Soon to expire lead quarterly Dec'22 (EDZ2) holding -0.005 at 95.255 while Mar'23 (EDH3) trades steady at 94.925 after 3M LIBOR set' gained +0.00815 to 4.74586% (+0.01275/wk).

  • Fed funds implied hike for Feb'23 at 32.5bp, Mar'23 cumulative 49.0bp to 4.823%, May'23 56.2bp to 4.894%, terminal at 4.89% in Jun'23.
  • Balance of Eurodollar Whites (EDH3-EDU3) steady to -0.005, Reds through Golds (EDZ3-EDU7) -0.025-0.050, Golds underperforming.
  • Current deferred spds vs. prior settle
    • Jun'23/Sep'23: currently -0.170 vs. -0.175
    • Dec'22/Red Dec'23: -0.145 vs. -0.165
    • Mar'23/Red Mar'24: -0.925 vs. -0.960
    • Jun'23/Red Jun'24: -1.380 vs. -1.410
  • Thursday options summary: Aside from some smaller call trades, theme for the day is better downside put plays, particularly condors in 10s, and vol selling in SOFR options w/ data and policy event risk in the rear-view mirror. Limited Eurodollar option trade, Dec futures and options expiring Friday.

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