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Post-LIBOR Settle Update: New 3M High, FOMC Focus

US EURODLR FUTURES

Lead quarterly Dec'22 (EDZ2) at 94.91 (-0.025) after latest 3M LIBOR set' climbs +0.02072 to new 14 year high of 4.46029% (+0.04029 total last wk).

  • A 75bp hike at Wed's FOMC fully priced, eager for year-end guidance - another 75bp hike in Dec in question, 50bp "step-down" debated. Reminder, latest employment report covering Oct out this Friday.
  • Balance of Whites (EDH3-EDU3) trade -0.045-0.070, Reds (EDZ3-EDU4) -0.080-0.060, Greens through Golds (EDZ4-EDU7) -0.050-0.010 with Golds outperforming.
  • Deferred calendar spds rebound from last Fri's cycle lows: Mar'23/Jun'23 -0.045 vs. -0.095; Dec'22/Red Dec'23 at -0.300 vs. -0.415, Mar'23/Red Mar'24 at -0.675 vs. -0.725. Inversion flattens out in front half of Blues.
  • Thursday FI option trade: Decent volume on sporadic trade Friday, call trade two-way while puts structures saw better buying as underlying rates sold off ahead next Wednesday's FOMC policy annc. Salient trade.

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