US EURODLR FUTURES: Post-LIBOR Settle Update: Adjusting To Adaptive Fed
May-13 11:10
Lead quarterly EDM2 trading -0.020 at 98.155 after latest 3M LIBOR set'
rebounds +0.0342 to new 2Y high of 1.44371% (+0.04185/wk).
- Balance of Whites (EDU2-EDH3) trade -0.070-0.075, back near midweek lows, readjusting (again) after Fed Chair Powell said he's prepared to consider larger than 50bp hikes late Thu (after downplaying 75bp moves at his press conference last week), as the committee adapts to "incoming data and the evolving outlook".
- Meanwhile, Reds through Golds (EDM3-EDH7) trade -0.060-085 lower. Inversion in front Reds (mkt measure of confidence in Fed managing a soft landing/avoiding recession) expands: Red Sep (EDU3) currently trading 96.785 vs. Red Jun (EDM3) at 96.71. Levels start to flatten out (dis-invert) around Blue Sep'25-Dec'25 trading 97.07-.05.
- Thursday's FI option trade recap: FI option trade remained mixed though upside call and call spread buying lead volumes as underlying Eurodollar and Tsy futures unwound Wed's multiple rate hike pricing. Notably, yld curves recovered from early flattening to steeper (2s10s +2.024 at 29.763 vs. 22.474 low).
- Highlight trade included large buying over 80,000 August 97.81 calls from 5.5-6.0 (50k blocked overnight) that fits in well if your expectations are for less hikes in the second half of the year. Of the various put trades, a notable conditional curve spread faded the late curve move: block buy of 6,000 short Aug 96.50/Green Aug 96.75 put spds, 1.0 net debit for the conditional bear flattener.
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
OPTIONS: Expiries for Apr13 NY cut 1000ET (Source DTCC)
Apr-13 11:06
- EUR/USD: $1.0700(E1.0bln), $1.0720-35(E1.0bln), $1.0865-70(E985mln), $1.0900(E1.3bln), $1.0960-80(E903mln), $1.0995-05(E2.9bln)
- USD/JPY: Y123.90-00($655mln)
- EUR/JPY: Y136.00(E562mln)
- AUD/USD: $0.7300(A$682mln), $0.7380-00(A$941mln)
- USD/CAD: C$1.2485-00($593mln)
- USD/CNY: Cny6.3400($500mln)
US EURODLR FUTURES: Post-LIBOR Settle Update: Fourth Consecutive 3M High
Apr-13 11:06
Lead quarterly EDM2 trades weaker at 98.365 (-0.010), still off late overnight low (98.345) after latest 3M LIBOR settle gains +0.00586 to 1.04429%, +0.02772 total for week and fourth consecutive new high (Apr 2020 lvls).
- Balance of Whites (EDU2-EDH3) trade -0.005-0.010 lower, Reds through Blues (EDM3-EDH6) trading -0.005-0.020 lower -- longer expirys continue to outperform in low measure of confidence in forward policy and/or Fed managing a soft landing/avoiding recession.
- First price inversion holding at Red Jun'23 at 96.755 vs. Red Dec'23 at 96.77. Inversion flattens out around late Blues (EDU5-EDZ5) trading around 97.19.
- Highlight trade from Tuesday: Mixed Two-way trade Tuesday, early position building followed by some chunky consolidation as underlying futures reversed early losses.
- Two-way call trade picked up as underlying futures held early gains into the second half. Late Eurodollar Blocks: +15,440 Green Jun'24 97.50 calls, 61.0 at 1452:57ET after +17,593 Red Mar'24 97.50 calls, 56.0 at 1450:36ET.
- Traders reported modest put flow in the lead-up to CPI: a Block of 5,000 May 98.31 puts, 7.0 ref 98.31, 7,000 short Apr 96.75/96.87 put spds, and 4,000 Green Jul 96.25/96.62 put spds vs. Gold Jul 96.50/96.87 put spds on screen.
LIBOR: JAPAN FIX - 13/04/22
Apr-13 11:04
- JY0001M -0.04803 0.01572
- JY0003M -0.01027 -0.00100
- JY0006M 0.04083 -0.00740
