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Post-LIBOR Settle Update: Implied Hikes Inch Higher

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) +.0025 at 94.8975 after 3M LIBOR set' climbs +0.00600 to new 16 year high of 4.92814% (+0.01285/wk).

  • Fed funds implied hike for Mar'23 at 29.6bp, May'23 cumulative 54.5bp to 5.127%, Jun'23 70.3bp to 5.285%, terminal at 5.345% in Aug'23 vs. 5.37% high.
  • Balance of Eurodollar Whites (EDM3-EDZ3) +0.020-0.025, Reds through Greens (EDH4-EDZ5) +0.030-0.010, Blues through Golds (EDH6-EDZ7) +0.010 to steady.
  • Current deferred spds vs. prior settles:
    • Jun'23/Sep'23: +0.100 vs. +0.105
    • Mar'23/Red Mar'24: -0.1525 vs. -0.125
    • Jun'23/Red Jun'24: -0.995 vs. -0.985
  • Tuesday option roundup: Surge in low delta Treasury put options as FI markets return from extended holiday weekend Tuesday. Despite a rise in implied rate hike probability and terminal rate to 5.36%, SOFR options were little more mixed with a couple notable trades: over 35,000 short Jun'23 SOFR 95.75 straddles at 69.5 and buyer of over 11,000 Jul'23 SOFR95.37 calls.

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