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Post-LIBOR Settle Update: Implied Hike Holds Steady

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) gains 0.010 to 95.01 after 3M LIBOR set' holds steady at 4.81357% (-0.01172/wk).

  • Fed funds implied hike for Feb'23 steady at 26.4bp, Mar'23 cumulative 46.9bp to 4.798%, May'23 57.9bp to 4.908%, terminal at 4.92% in Jun'23-Jul'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) +0.005, Reds (EDH4-EDZ4) +0.025-0.050, Greens through Golds (EDH5-EDZ7) +0.045-0.030.
  • Current deferred spds vs. prior settles:
    • Jun'23/Sep'23: steady at -0.070
    • Mar'23/Red Mar'24: -0.755 vs. -0.735
    • Jun'23/Red Jun'24: -1.300 vs. -1.270
  • Option recap: Rather muted volumes Monday covered mixed wing buyers (SOFR call and put flys, 5-, 10- and 30Y wings pared, vol buyers via strangles) ahead this Wed's FOMC policy annc (25bp hike widely anticipated).
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