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Post-LIBOR Settle Update: Pricing 50bp Hikes Next Two FOMC

US EURODLR FUTURES

Lead quarterly Dec'22 (EDZ2) reverses course, trades -0.005 to 95.2425 after latest 3M LIBOR set' rebounds +0.01957 to 4.75271% (+0.00057 total last wk).

  • Fed funds implied hike for Dec'22 at 52.3bp, Feb'23 cumulative 89.7bp to 4.726%, Mar'23 106.3bp to 4.892%, terminal at 4.955% in Jun'23.
  • Balance of Eurodollar Whites (EDH3-EDU3) -0.010 to +0.015, Reds (EDZ3-EDU4) +0.035, Blues through Golds (EDZ5-EDU7) +0.035-0.055.
  • Current deferred spds update: off Thu close' inverted lows
    • Jun'23/Sep'23: currently -0.150 vs. -0.135
    • Dec'22/Red Dec'23: -0.825 vs. -0.625
    • Mar'23/Red Mar'24: -0.915 vs. -0.880
    • Jun'23/Red Jun'24: -1.365 vs. -1.335
  • Friday options summary: Modest trade volumes turned mixed after Friday's higher than exp PPI weighed on underlying futures, 10YY climbed to 3.5691% by the close. Highlight call trade:
    • Block, 10,000 Green Jan SOFR 97.25/97.62 call spds, 8.0 ref 97.025
    • +10,000 SFRZ 97.50 calls, 12.0
    • Block, 10,000 EDZ2 95.25/95.37 call spds, 2.75 vs. 95.2475/0.42%
    • Block, 20,000 EDZ2 95.25/95.37 call spds, 2.5 vs. 95.2475/0.42%

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