OPTIONS: Larger FX Option Pipeline

Lead quarterly Dec'22 (EDZ2) extends late overnight high to 95.1775 (+0.010) after latest 3M LIBOR set' recedes -0.00914 to 4.72343% (-0.00129 total wk).

• Fed funds implied hike for Dec'22 holding at 51.2bp, Feb'23 cumulative 88.2bp to 4.722% (Mar'23 105.2bp to 4.892%) , terminal at 4.95% in May'23-Jun'23 vs. 4.915% late Friday. Balance of Whites through Greens (EDH3-EDU5) -0.035-0.075, Blues through Golds (EDZ5-EDU7) -0.040-0.010, Golds outperforming.
• Current deferred spds update - climbing off deeper inversions:
  • Jun'23/Sep'23 -0.0150 vs. -0.160 late Fri
  • Dec'22/Red Dec'23 at -0.155 vs. -0.225
  • Mar'23/Red Mar'24 at -0.930 vs. -0.950
  • Jun'23/Red Jun'24 at -1.380 vs. -1.395
• Friday options summary: The number of varied trades made up for modest overall volumes Friday. two-way flow as underlying futures steadily reversed post-NFP sell-off as 50bp hike in Dec still priced in (curves flatter as prospect of slower hikes in 2023 cooled, however).
  • Early trade summary carried over into the second half: better upside call hedging in SOFR options ahead key employment data while Treasury options saw better 10Y put interest. SOFR upside insurance call buying continued through midday while Treasury option focus on puts.