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Post-LIBOR Settle Update: Short End Still Bid

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) trades +0.015 at 94.955 after 3M LIBOR set' gains +0.02490 to 4.75386% (+0.02833/wk).

  • Fed funds implied hike for Feb'23 at 32.9bp, Mar'23 cumulative 50.0bp to 4.833%, May'23 58.9bp to 4.921%, terminal at 4.925% in Jun'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) +0.005-0.010, Reds through Greens (EDH4-EDZ5) steady to +0.015, Blues through Golds (EDH6-EDZ7) steady to -0.010.
  • Current deferred spds vs. prior settle
    • Jun'23/Sep'23: currently -0.100 (unch)
    • Mar'23/Red Mar'24: -0.680 vs. -0.695
    • Jun'23/Red Jun'24: -1.105 vs. -1.115
  • Tuesday options summary: Light holiday volume revolved around low delta puts in Tsy 10Y, Eurodollar and SOFR options Wednesday, largely traded prior to underlying futures giving up early gains to weaker in the second half.

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