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Post-LIBOR Settle Update: Implied Hikes Steady Through March

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) climbs +0.015 to 95.03 after 3M LIBOR set' falls -0.01728 to 4.79629% (-0.02900/wk).

  • Fed funds implied hike for Feb'23 at 25.7bp (-.3), Mar'23 cumulative 46.0bp to 4.793%, May'23 56.5bp to 4.898%, terminal at 4.905% in Jun'23-Jul'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) steady to +0.015, Reds (EDH4-EDZ4) +0.010-0.020, Greens through Golds (EDH5-EDZ7) +0.025-0.040.
  • Current deferred spds vs. prior settles:
    • Jun'23/Sep'23: -0.070 vs. -0.085
    • Mar'23/Red Mar'24: -0.780 vs. -0.785
    • Jun'23/Red Jun'24: steady at -1.330
  • Option recap: Chunky two-way wing trade continued for second consecutive session Tue, consolidation, re-positioning ahead Wednesday's FOMC policy announcement.
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