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Post-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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