Free Trial

Post-LIBOR Settle Update, New 3M High; Russia Headline Vol

US TSY FUTURES

Fast two-way, lead quarterly EDH2 trades +0.015 higher at 99.1475 after latest 3M LIBOR settlement surge to highest level since late April 23, 2020: +0.02314 to 0.82600% (+0.21586/wk).

  • Balance of Whites (EDM2-EDZ2) mixed: with EDM2 +0.010, EDU2-EDZ2 -0.010-0.030. Reds through Golds (EDH3-EDZ6) currently -0.050-0.020. Long end of strip resisting plunge that occurred after Russia Pres Putin headlines re: "positive shifts" in Ukraine talks spurred fast risk-on move w/ Tsys gapping lower, stocks surged, Gold extends lower, support in crude fading.
  • Continued headline risk: Reuters headline cites Ukraine Pres Zelensky that "Ukraine has reached a strategic turning point in war". Market not sure how to take that, but rates holding near lows. More to follow.
  • Meanwhile, Fed remains in blackout ahead next week's FOMC policy annc on the 16 -- Eurodollar futures pricing in uncertainty or rebound in rates as futures trade gradually higher in longer expirys: first price inversion between Red Sep'23 (97.565) and Red Dec'23 (97.605).
  • Option summary: Concerted tone change Thursday w/ surge in upside calls, outright and on spd as active accounts likely positioned for a less aggress hawkish tone from the Fed after they (most likely) hike next week on the 16th. Underlying theme: Russia war in Ukraine increasing uncertainty in markets, Fed less apt to prove current market pricing of 5-6 25bps hikes by year end.

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.