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Post-LIBOR Settle Update: Implied Hikes Steady, Recent Highs

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) pares gain, back to steady at 94.925 after 3M LIBOR set' climbs +0.00857 to new 16 year high to 4.97100% this morning (+0.01757/wk).

  • Fed funds implied hike for Mar'23 at 29.8bp, May'23 cumulative 55.2bp to 5.132%, Jun'23 73.7bp to 5.317%, terminal at 5.415 in Oct'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) -0.005-0.020, Reds (EDH4-EDZ4) -0.030-0.035, Greens through Golds (EDH5-EDZ7) -0.025-0.035.
  • Current deferred spds vs. prior settles - continue to widen:
    • Jun'23/Sep'23: +0.150 vs. +0.145
    • Mar'23/Red Mar'24: +0.140 vs. +0.110
    • Jun'23/Red Jun'24: -0.735 vs. -0.765
  • Monday option roundup: Carry-over low delta put buying on net, discounting the modest bounce in underlying futures, looking to hedge dwindling rate cut pricing at least through 2023.
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