Post-LIBOR Settle Update: Pace Slows for New Benchmark High

Lead quarterly Dec'22 (EDZ2) gains +0.010 to 95.015 after latest 3M LIBOR set'

climbs +0.00114 to new 14Y high of 4.67543% (+0.06929/wk).

• Dec step-down expectations steady as Fed funds implied hike for Dec'22 dips to 49.8 from 50.9bp earlier, Feb'23 cumulative 84.9bp to 4.703%, terminal 4.93% in Jun'23 (5.08% pre-CPI).
• Balance of Whites (EDH3-EDU3) -0.005-0.020, Reds through Golds (EDZ3-EDU7) currently -0.020-0.040, Reds underperforming. Deferred spds:
  • Jun'23/Sep'23 -0.240 vs. -0.255 early Wed;
  • Dec'22/Red Dec'23 at -0.360 vs. -0.422,
  • Mar'23/Red Mar'24 at -0.935 vs. -0.980,
  • Jun'23/Red Jun'24 at -1.270 vs. -1.295 prior cycle low.
  • Inversion flattens out in early Blues: EDZ5-EDH6 +0.020.
• Wednesday option roundup: Another volume challenged session, accts already sidelined prior to all the data, and not thinking too deep ahead next week's holiday closures. Consistent themes: more interest in buying upside calls since last week's surprise CPI miss put year end policy pivot back on the radar. Wed's underlying rally despite stronger than expected retail sales failed to generate much follow through derivatives trading.