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Post-LIBOR Settle Update: Mar'23 Implied Hike Steady

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) +0.0125 at 94.9475 after 3M LIBOR set' recedes -0.00586 to 4.86357%.

  • Fed funds implied hike for Mar'23 steady at 26.1bp, May'23 cumulative 46.0bp to 5.042%, Jun'23 57.2bp to 5.154%, terminal up to 5.185% in Aug'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) steady to -0.015, Reds through Blues (EDH4-EDZ6) -0.045-0.005, Golds (EDH7-EDZ7) +0.005-0.010.
  • Current deferred spds vs. prior settles:
    • Jun'23/Sep'23: +0.045 vs. +0.035
    • Mar'23/Red Mar'24: -0.365 vs. -0.400
    • Jun'23/Red Jun'24: -1.130 vs. -1.165
  • Option recap: Aside from a steady increase in volumes of SOFR futures and options ahead of the coming conversion of Eurodollar futures and options on April 14, 2023 - the sophistication of SOFR option flows has risen to the point where Eurodollar options used to excel. Recent examples of put positioning to hedge continued rate hikes into late 2023:

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