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Post-LIBOR Settle Update: Implied Hike Holding Steady

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Lead quarterly Mar'23 (EDH3) reverses gain, back to steady at 95.005 after 3M LIBOR set' rebounds +0.02286 to 4.82529% (+0.00972/wk) - just off 14Y high of 4.82971% from Jan 12.

  • Fed funds implied hike for Feb'23 remains at 26.4bp, Mar'23 cumulative 46.9bp to 4.798%, May'23 56.8bp to 4.897%, terminal at 4.905% in Jun'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) -0.005-0.030, Reds (EDH4-EDZ4) -0.055-0.070, Greens through Golds (EDH5-EDZ7) -0.070-0.090.
  • Current deferred spds vs. prior settles - climbing off deeper inverted lvls:
    • Jun'23/Sep'23: -0.085 vs -0.100
    • Mar'23/Red Mar'24: -0.805 vs. -0.860
    • Jun'23/Red Jun'24: -1.330 vs. -1.400
  • Option recap: Consistent and varied put structures dominated Thursday's FI option trade, particularly in SOFR options hedging modest rate hike affect on mid-2023 to mid-2024.
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Lead quarterly Mar'23 (EDH3) reverses gain, back to steady at 95.005 after 3M LIBOR set' rebounds +0.02286 to 4.82529% (+0.00972/wk) - just off 14Y high of 4.82971% from Jan 12.

  • Fed funds implied hike for Feb'23 remains at 26.4bp, Mar'23 cumulative 46.9bp to 4.798%, May'23 56.8bp to 4.897%, terminal at 4.905% in Jun'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) -0.005-0.030, Reds (EDH4-EDZ4) -0.055-0.070, Greens through Golds (EDH5-EDZ7) -0.070-0.090.
  • Current deferred spds vs. prior settles - climbing off deeper inverted lvls:
    • Jun'23/Sep'23: -0.085 vs -0.100
    • Mar'23/Red Mar'24: -0.805 vs. -0.860
    • Jun'23/Red Jun'24: -1.330 vs. -1.400
  • Option recap: Consistent and varied put structures dominated Thursday's FI option trade, particularly in SOFR options hedging modest rate hike affect on mid-2023 to mid-2024.