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Post-LIBOR Settle Update: Higher Fix Expected?

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) 94.9275 (+0.015) even after 3M LIBOR set' climbs +0.00457 to new 16 year high to 4.98571% this morning (+0.03228/wk).

  • Fed funds implied hike for Mar'23 at 30.8bp (-.4), May'23 cumulative 57.9bp (+.2) to 5.154%, Jun'23 76.5bp (+.1) to 5.340%, terminal at 5.450% in Oct'23 vs. 5.49% high.
  • Balance of Eurodollar Whites (EDM3-EDZ3) +0.025-0.040, Reds (EDH4-EDZ4) +0.035-0.005, Greens through Golds (EDH5-EDZ7) steady to -0.020.
  • Current deferred spds vs. prior settles:
    • Jun'23/Sep'23: +0.140 vs. +0.145
    • Mar'23/Red Mar'24: +0.1875 vs. +0.2075
    • Jun'23/Red Jun'24: steady at -0.685
  • Wednesday option roundup: Consistently better put structure trade Wednesday as underlying futures sold off as implied rate hikes rise (terminal at 5.455% in Oct'23 vs. 5.50% earlier high).

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