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Free AccessPost-LIBOR Settle Update: Rate Hike Pricing Steady Ahead GDP
Lead quarterly Mar'23 (EDH3) bounces +0.010 to 95.010 after 3M LIBOR set' falls -0.01214 to 4.80243% (-0.01314/wk).
- Fed funds implied hike for Feb'23 remains at 25.7bp, Mar'23 cumulative 45.6bp to 4.788%, May'23 55.0bp to 4.882%, terminal at 4.885% in Jun'23.
- Balance of Eurodollar Whites (EDM3-EDZ3) steady to +0.010, Reds (EDH4-EDZ4) steady to -0.45, Greens through Golds (EDH5-EDZ7) -0.035-0.040.
- Current deferred spds vs. prior settles:
- Jun'23/Sep'23: -0.110 vs -0.120
- Mar'23/Red Mar'24: -0.910 vs. -0.915
- Jun'23/Red Jun'24: -1.425 vs. -1.450
- Option recap: While the Asia Lunar New Year holiday has kept overall volumes muted this week - SOFR option volume remains robust with focused on low-delta puts/spds (hedging extended rate but smaller hikes). Wed the first time since last week where a shift in low delta call and call spds after more consistent put trade has been noted. Salient trade includes: +60,000 SFRZ3 97.00/97.50/98.00 call flys, 1.5 and 19,500 SFRZ3 96.25/97.00/97.50 broken call flys, 6.5 vs. 95.59/0.10%. Puts include 20,000 SFRU3 95.37/95.62 put spds, 17.5 ref 95.30.
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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.