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Volume Surge Post LIBOR Extension Annc

US EURODLR FUTURES

Over 150,000 RedMar'22 futures traded from 99.71 to -.76 after the Fed annc to extend LIBOR transition from end of 2021 to June 2023, total volume just over 325k now, Red Dec21 to Green Sep'23 all over 110k. Healthy spd trade w/25,000 Red Mar'22/Sep'22 from 2-3, over 41,000 Green Jun'23/Sep'23 from 5.0-6.0.

  • Dec 20 steady at 99.750
  • Mar 21 +0.005 at 99.795
  • Jun 21 +0.005 at 99.80
  • Sep 21 +0.005 at 99.795
  • Red Pack (Dec 21-Sep 22) +0.010 to +0.070
  • Green Pack (Dec 22-Sep 23) +0.025 to +0.050
  • Blue Pack (Dec 23-Sep 24) steady to +0.020
  • Gold Pack (Dec 24-Sep 25) -0.015 to -0.005

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