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Post-LIBOR Settle Update: Resumes Climb to New 14Y High

US EURODLR FUTURES

Lead quarterly EDU2 extending session high last few minutes, +0.325 at 96.6225 even after latest 3M LIBOR set' climbs +0.01257 to new 14Y high: 3.08214% (+0.11186 total last wk).

  • Slight reprieve in hawkish rhetoric following softer European CPI inflation metrics overnight sees bounce across the strip: Balance of Whites (EDZ2-EDM3) trade +0.045, Reds through Golds (EDU3-EDM7) +0.045-0.070, Greens outperforming.
  • Current inversion pricing: Mar'23/Jun'23 -0.045; calendar spds: EDZ2/EDZ3 at -0.385, EDH3/EDH4 at -0.595. Inversion flattens out in Gold Sep'27/Dec'27 trading +0.010.
  • Monday roundup: Limited participation with London out for bank holiday really crimped week opener trade volumes. Replacement to Eurodollar options, SOFR options lead session volumes with mixed put structures and one call fly block fading the carry over short end selling in the short end.
    Salient trade:
  • Salient trade: SOFR Options: Block, 10,000 SFRZ2 97.00/97.25/97.50 call flys, 0.75 net, +5,000 short Dec SOFR 96.12 puts 9.5 over SFRZ2 96.00 puts, both legs covered, Block, -10,000 short Oct SOFR 96.25/96.75 2x1 put spds, 11.5 ref 96.51.
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