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Post-LIBOR Settle Update: Feb Implied Hike Steady

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) slips -0.015 to 94.955 after 3M LIBOR set' climbs +0.01014 to 4.80771% (+0.01528/wk).

  • Fed funds implied hike for Feb'23 steady at 27.9bp, Mar'23 cumulative 47.4bp to 4.802%, May'23 57.3bp to 4.902%, terminal at 4.905% in Jun'23/Jul'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) -0.010-0.005, Reds (EDH4-EDZ4) +0.005-0.020, Greens through Golds (EDH5-EDZ7) +0.025-0.060, Golds lead.
  • Current deferred spds vs. prior settle
    • Jun'23/Sep'23: steady at -0.130
    • Mar'23/Red Mar'24: -0.975 at -0.960
    • Jun'23/Red Jun'24: -1.515 vs. -1.490
  • Tuesday option recap: Better low delta put and put spread trade noted upon US FI markets return from extended holiday weekend, gradual pick-up in rate-hike pivot away from more hawkish stance.

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