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Post-LIBOR Settle Update: Lead Quarterly Maintains Bid

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) holds +0.015 at 94.950 even after 3M LIBOR set' climbs +0.01328 to new 14-year high of 4.88257% (+0.03843/wk).

  • Fed funds implied hike for Mar'23 steady at 25.4bp, May'23 cumulative 43.6bp to 5.020%, Jun'23 52.3bp to 5.107%, terminal at 5.115% in Jul'23/Aug'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) +0.035-0.040, Reds through Golds (EDH4-EDZ7) +0.020-0.045.
  • Current deferred spds vs. prior settles:
    • Jun'23/Sep'23: steady at -0.005
    • Mar'23/Red Mar'24: -0.550 vs. -0.530
    • Jun'23/Red Jun'24: steady at -1.275
  • Option recap: Low delta puts and put spreads continued to drive FI option volumes Wednesday though flow receded in second half as underlying rates held near middle of session ranges.

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