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Post-LIBOR Settle Update: Implied Hikes Cycle Highs

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) pares gain to +.005 at 94.885 after 3M LIBOR set' climbs +0.02972 to new 16 year high of 4.95786% (+0.04257/wk).

  • Fed funds implied hike for Mar'23 at 30.3bp, May'23 cumulative 56.3bp to 5.148%, Jun'23 72.7bp to 5.312%, terminal at 5.365% in Aug'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) steady to +0.010, Reds (EDH4-EDZ4) -0.010-0.025, Greens through Golds (EDH5-EDZ7) -0.020-0.030.
  • Current deferred spds vs. prior settles:
    • Jun'23/Sep'23: +0.100 vs. +0.095
    • Mar'23/Red Mar'24: -0.1125 vs. -0.130
    • Jun'23/Red Jun'24: -0.965 vs. -0.990
  • Wednesday option roundup: Better put volumes on net after SOFR saw period of upside call buying post-Bullard as underlying rallied. Put buyers returned post FOMC minutes release as underlying receded, short end under pressure.

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