US EURODLR FUTURES: Post-LIBOR Settle Update: 3M Benchmark Bounce, Off Wed High
Aug-12 11:08
Lead quarterly EDU2 +0.015 at 96.650, off overnight high after latest 3M LIBOR set' rebounds +0.01643 to 2.92157% (+0.05486/wk) - just off Wednesday's 14-year high of 2.92271%.
- Paring gains, balance of Whites (EDZ2-EDM3) trade +0.020-0.030, Reds through Golds (EDU3-EDM7) steady to +0.015, Reds lagging.
- Inversions gradually climbing off lows following Wed's flat July CPI, Thu's lower than exp PPI: Dec'22/Mar'23 at -0.015 vs. -0.095 wk ago; calendar spds: EDZ2/EDZ3 at -0.525 vs. -0.715 last Fri, EDH3/EDH4 at -0.695 vs. -0.820 last Fri. Inversion flattens out in Blues Dec'25/Mar'26 trading flat at 97.34.
- Modest option volumes noted Thursday despite the wide range in underlying futures, curves bear steepening with carry-over weakness in the long end. Salient trade did appear to be bullish with selling of SOFR puts and scale buyer of September 10Y call flys.
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
US EURODLR FUTURES: Post-LIBOR Settle Update: Ignoring New 3M High
Jul-13 11:07
Lead quarterly EDU2 trades steady to +0.005 at 96.685 after latest 3M LIBOR set' new 3Y high of 2.51200% +0.02900 (+0.08900/wk).
- Forward Fed hike expectations steady after moderating slightly since last Fri's strong jobs data, balance of Whites through Golds (EDZ2-EDM7) +0.025-0.015. Markets await this morning June CPI read for direction.
- Front end inversion at recent lows: Dec'22/Mar'23 at -0.130. Most inverted calendar spds: EDZ2/EDZ3 at -0.635, EDH3/EDH4 at -0.620. Inversion starts to flatten out in latter half of Greens w/ EDH5/EDM5 trading flat (97.220).
- Second consecutive session of limited option volume Tuesday, flow mildly bullish with put unwinds and call buys with underlying futures trading higher, 30YY falling to 3.0833% low before climbing back to 3.1240% after the bell.
- Highlight Eurodollar trade includes put skew sale with 5,000 Dec 96.00 puts 6.0 over 96.25/96.75 call spreads. Midcurve call buyer paid 40.5 for 5,000 Green Dec 97.25 calls vs. 97.185/0.45%.
- Limited SOFR trade had paper buying 7,000 SFRZ2 96.50/97.00/98.00 broken call flys.
US MBA: REFIS +2% SA; PURCH INDEX -4% SA THRU JULY 8 WK
Jul-13 11:00
- US MBA: REFIS +2% SA; PURCH INDEX -4% SA THRU JULY 8 WK
- US MBA: UNADJ PURCHASE INDEX -18% VS YEAR-EARLIER LEVEL
- US MBA: 30-YR CONFORMING MORTGAGE RATE REMAINED AT 5.74%
MNI: US MBA: MARKET COMPOSITE -1.7% SA THRU JUL 08 WK
Jul-13 11:00
- MNI: US MBA: MARKET COMPOSITE -1.7% SA THRU JUL 08 WK
Trending Top
Jul-01 09:58
Jun-30 16:45
