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Post-LIBOR Settle Update: Implied Hikes Inch Higher

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) pares overnight support to +0.005 at 94.945 after 3M LIBOR set' climbs +0.01429 to new 14-year high of 4.85929% (+0.02515/wk).

  • Fed funds implied hike for Mar'23 steady at 25.4bp, May'23 cumulative 44.7bp to 5.031%, Jun'23 54.3bp to 5.127%, terminal at 5.13% in Jul'23/Aug'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) steady to +0.015-0.030, Reds (EDH4-EDZ4) +0.035-0.065, Greens through Golds (EDH5-EDZ7) +0.065-0.040.
  • Current deferred spds vs. prior settles:
    • Jun'23/Sep'23: -0.015 vs. -0.005
    • Mar'23/Red Mar'24: -0.550 vs. -0.520
    • Jun'23/Red Jun'24: -1.305 vs. -1.260
  • Option recap: Heavy derivatives volume resumed Tuesday, focus on downside (rate hike) insurance buying via puts as markets continue to (re)price in more rate hikes out the curve. Salient SOFR trade, buyers over 100,000 Sep'23 SOFR 94.00/94.50 put spds from 5.5 to 6.0 on the day.

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