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Post-LIBOR Settle Update: EDH3 Pares Gain on New 14Y 3M High

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) pares gains to +0.015 at 94.935 after 3M LIBOR set' climbs +0.00657 to new 14 year high of 4.78843% (+0.02114/wk).

  • Fed funds implied hike for Feb'23 at -.4bp to 32.8bp, Mar'23 cumulative 51.1bp to 4.843%, May'23 60.5bp to 4.937%, terminal at 4.94% in Jun'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) +0.040-0.075, Reds (EDH4-EDZ4) +0.090-0.125, Greens through Golds (EDH5-EDZ7) +0.125-0.135.
  • Current deferred spds vs. prior settle
    • Jun'23/Sep'23: -0.125 vs. -0.110
    • Mar'23/Red Mar'24: -0.760 vs. -0.695
    • Jun'23/Red Jun'24: -1.220 vs. -1.160
  • Tuesday option roundup: Better low-delta put trade on net Tuesday, fading stronger underlying futures at the start of 2023. Salient trade:
    • 24,600 2MF3 111.5/114 put over risk reversals, 2 ref 112-21.5
    • Blocks, total 15,000 SFRZ3 95.06/95.25 put spds,
    • Block, 2,500 SFRU3 94.68/94.81/94.93/95.06 put condors, 1.75
    • Block, 2,500 SFRZ3 94.68/94.81/94.93/95.06 put condors, 1.25
    • Block, 2,500 SFRM3 94.68/94.81/94.93/95.06 put condors, 2.5

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