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Remains Vulnerable

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Northbound

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Late SOFR/Eurodollar/Treasury Option Roundup

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Holding On To Its Recent Gains

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Post-LIBOR Settle Update: New 14+ Year High 3M Benchmark

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) dips to +0.005 at 94.925 after 3M LIBOR set' climbs +0.00914 to new 14 year high of 4.81500% (+0.00514/wk).

  • Fed funds implied hike for Feb'23 -.4 at 30.8bp, Mar'23 cumulative steady at 50.6bp to 4.838%, May'23 steady at 59.5bp to 4.926%, terminal at 4.93% in Jun'23/Jul'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) +0.005-0.015, Reds (EDH4-EDZ4) +0.025-0.040, Greens through Golds (EDH5-EDZ7) +0.040-0.045.
  • Current deferred spds vs. prior settle
    • Jun'23/Sep'23: at -0.145 vs. -0.135
    • Mar'23/Red Mar'24: -0.930 vs. -0.915
    • Jun'23/Red Jun'24: -1.430 vs. -1.400
  • Tuesday option roundup: Session flow focused on downside puts in SOFR options, new and re-positioning as underlying futures continued to unwind post-NFP strength, vol offered. Notable large put condor roll 5.5 net cr: +28,953 SFRJ3 94.62/94.87/95.00/95.25 put condors, ref 95.075-.080 vs. -27,153 SFRH3 94.62/94.87/95.12/95.38 put condors, ref 95.105-.085. Vol seller: appr -20,000 Dec SOFR 95.62 straddles from 81.0-2.0 since Monday.
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Lead quarterly Mar'23 (EDH3) dips to +0.005 at 94.925 after 3M LIBOR set' climbs +0.00914 to new 14 year high of 4.81500% (+0.00514/wk).

  • Fed funds implied hike for Feb'23 -.4 at 30.8bp, Mar'23 cumulative steady at 50.6bp to 4.838%, May'23 steady at 59.5bp to 4.926%, terminal at 4.93% in Jun'23/Jul'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) +0.005-0.015, Reds (EDH4-EDZ4) +0.025-0.040, Greens through Golds (EDH5-EDZ7) +0.040-0.045.
  • Current deferred spds vs. prior settle
    • Jun'23/Sep'23: at -0.145 vs. -0.135
    • Mar'23/Red Mar'24: -0.930 vs. -0.915
    • Jun'23/Red Jun'24: -1.430 vs. -1.400
  • Tuesday option roundup: Session flow focused on downside puts in SOFR options, new and re-positioning as underlying futures continued to unwind post-NFP strength, vol offered. Notable large put condor roll 5.5 net cr: +28,953 SFRJ3 94.62/94.87/95.00/95.25 put condors, ref 95.075-.080 vs. -27,153 SFRH3 94.62/94.87/95.12/95.38 put condors, ref 95.105-.085. Vol seller: appr -20,000 Dec SOFR 95.62 straddles from 81.0-2.0 since Monday.