Free Trial

Post-LIBOR Settle Update, Short End Bounce

US EURODLR FUTURES
  • Lead quarterly Eurodollar futures EDM3 currently +0.050 at 95.165, ignoring higher 3M LIBOR settle +0.05543 to 4.96257% (-0.17557/wk).
  • Off overnight lows, balance of the Eurodollar Whites (EDU3-EDH4) currently +0.005-0.055 as bank jitters continue.
  • Peak Fed terminal rate at 4.84% in May'23 as mid-year rate cut expectations gain traction.
  • Fed funds implied hike for Mar'23 at 17.1bp, May'23 cumulative 30.4bp to 4.885%, Jun'23 5.9bp to 4.640%. Rate cuts pricing in for the July 26 FOMC, cumulative of -30.4 to 4.278%.
  • Option roundup: Better put trade on net overnight, expect pick-up in volumes with rates rebounding off lows amid ongoing bank headline driven volatility.

To read the full story

Close

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.