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Post-LIBOR Settle Update: Nov Hike Expectations Stable

US EURODLR FUTURES

Lead quarterly Dec'22 (EDZ2) off 94.890 at 94.905 (-.005) after latest 3M LIBOR set' climbs +0.01600 to new 14Y high of 4.24257% (+0.04886/wk).

  • Short end pricing 75bp hike at Nov FOMC stable, Dec closer to 75bp after Thu's jump in CPI. Balance of Whites (EDH3-EDU3) from -0.005 to +0.010, Reds through Golds (EDZ3-EDU7) steady to +0.015, Reds leading.
  • Current inversions: Mar'23/Jun'23 -0.075; Dec'22/Red Dec'23 at -0.315, Mar'23/Red Mar'24 at -0.675, Jun'23/Red Jun'24 at -0.815. Inversion flattens out with Blue Dec'25/Mar'26 trading around 96.19.
  • Monday FI option roundup: trade evaporated during latter half, overall trade mixed/consolidative as support in long end underlying evaporated. Notable vol structure in SOFR options included large March/June/Sep strangle spd strip.

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