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Post-LIBOR Settle Update: Lead Quarterly Well Bid

US EURODLR FUTURES

Lead quarterly Dec'22 (EDZ2) climbs +0.015 to 95.2425 after latest 3M LIBOR set' recedes -0.00200 to 4.73314% (+0.00057/wk).

  • Fed funds implied hike for Dec'22 at 51.2bp, Feb'23 cumulative 87.3bp to 4.709%, Mar'23 103.2bp to 4.868%, terminal at 4.925% in May'23-Jun'23.
  • Balance of Eurodollar Whites through Reds (EDH3-EDU4) +0.025-0.020, Greens (EDZ4-EDU5) +0.020-0.010, Blues-Golds (EDZ5-EDU7) steady to +/-0.005.
  • Current deferred spds update: off Thu close' inverted lows
    • Jun'23/Sep'23: steady at -0.150
    • Dec'22/Red Dec'23: -0.115 vs. -0.1025
    • Mar'23/Red Mar'24: -0.900 vs. -0.905
    • Jun'23/Red Jun'24: -1.350 vs. -1.355
  • Thursday options summary: Pause in the week's better downside put and put spd buying (remember Tue/Wed +125k TYH3 110.5/111.5/112.5/113.5 put condors at 11) sees more consistent call trade ahead Fri's PPI.
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