US EURODLR FUTURES: Post-LIBOR Settle Update: Short End Ignores New 3M High

Lead quarterly EDU2 holding at 96.735 (+0.005) after 3M LIBOR set' climbs +0.02671 to near 3Y high of 2.27714% (+0.04271/wk).

• Balance of Whites (EDZ2-EDM3) trading steady to +0.025, Reds through Golds (EDU3-EDM7) +0.040-0.055 w/ Greens-Blues (EDU4-EDM6) outperforming.
• Recession expectations priced in front end: Mar'23/Jun'23 inverted by -0.135. Most inverted calendar spd: EDH3/EDH4 extends to -0.510 vs. -0.445 Tue.
• Tuesday option roundup: Modest overall FI option volume Tuesday focused on downside puts as near-term 75bp likely to remain the "new baseline" from the Federal Reserve. Nevertheless, underlying rates see-sawed off session lows in late trade. Salient examples in SOFR, Eurodollar and Treasury options include:
• Eurodollar blocks included +20,000 Dec 95.5/96.5 put spds, 40.5 vs. 96.20/0.36% as well as +17,000 Dec 95.62/96.62 put spds, 45.5 vs. 96.20/0.42%.
• Treasury options saw buy of at least 25,000 (12.5k Blocked) TYU2 113/115 2x1 put spds at 1.0 in addition to 10,000 TYQ 113/114 put spds, 8.
• SOFR options package structured as a bear flattener with buy of 30,000 SFRZ2 96.25/97.50 put spds 77.5 vs. -20,000 SFRZ3 96.00 puts at 49.5.