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Post-LIBOR Settle Update: Lead Quarterly Expires Friday

US EURODLR FUTURES

Soon to expire lead quarterly Dec'22 (EDZ2) trades +0.0075 at 95.2625 while Mar'23 (EDH3) trades -0.010 at 94.955 after latest 3M LIBOR set' inches +0.00142 higher to 4.73771% (+0.00457/wk).

  • Fed funds implied hike for Feb'23 at 32.2bp, Mar'23 cumulative 47.5bp to 4.813%, May'23 54.7bp to 4.884%, terminal at 4.87% in Jun'23.
  • Balance of Eurodollar Whites (EDH3-EDU3) steady to -0.015, Reds through Golds (EDZ3-EDU7) +0.030-0.050, Blues-Golds lagging.
  • Current deferred spds vs. prior settle
    • Jun'23/Sep'23: currently -0.190 vs. -0.170
    • Dec'22/Red Dec'23: -0.2125 vs. -0.195
    • Mar'23/Red Mar'24: -0.980 vs. -0.930
    • Jun'23/Red Jun'24: -1.425 vs. -1.370
  • Wednesday options summary: Well ahead of the Fed's anticipated 50bp rate hike Wed, robust option volumes revolved around consistent upside call and call spread buying in SOFR options throughout the session - anticipating further deflation signals in 2023 to spur further step-down from the Fed.

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