US EURODLR FUTURES: Post-LIBOR Settle Update: 3M Benchmark Gaps Higher
Sep-01 11:12
Lead quarterly EDU2 trading -0.0175 at 96.605 after latest 3M LIBOR set' climbs +0.04443 to new 14Y high: 3.14414% (+0.07457/wk).
- Off overnight lows, hawkish expectations of 75bp hike from ECB next week, not to mention "higher for longer" mantra from the Fed weighing on short with the balance of Whites (EDZ2-EDM3) trade -0.005-0.015, Reds through Greens (EDU3-EDM5) -0.020-0.040, Blues through Golds (EDU5-EDM7) -0.050-0.085, Golds underperforming.
- Current inversion pricing: Mar'23/Jun'23 -0.025; calendar spds: EDZ2/EDZ3 at -0.310, EDH3/EDH4 at -0.570. Point where long end inversion flattens out has shifter from Golds back to Blues with Blue Dec'25/Mar'26 flat (both trade 96.875).
- Wednesday option roundup: Large Eurodollar put spds traded around midsession, targeting year end "higher for longer" rate hike speculation. Salient trade: 30,000 Dec 99.00/99.25 put spds, +30,000 Dec 99.00/99.75 put spds, 77.0, 30,000 Dec 99.00/99.62 put spds, 7,000 short Mar 98.00/98.75 put spds.
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US EURODLR FUTURES: Post-LIBOR Settle Update: Benchmark Back to Making New Highs
Aug-02 11:04
Lead quarterly EDU2 trades +0.015 at 96.705, little off overnight highs after latest 3M LIBOR set' climbs +0.00486 to 2.80700%, +0.01871 for the week as it climbs to new 3.5Y high. The 3M benchmark had gapped lower Thu after the FOMC delivered a second consecutive 75bp hike while scaling back hawkish forward guidance for Sep.
- Balance of Whites through Blues (EDU2-EDM6) trade +0.025-0.045, Golds (EDU6-EDM7) +0.045-0.050.
- Front end inversion extends: Dec'22/Mar'23 at -0.170. Most inverted calendar spds: EDZ2/EDZ3 at -0.725, EDH3/EDH4 at -0.710. Inversion starts to flatten out in Green Jun'25 vs. Blue Sep trading steady.
- Limited option volumes reported Monday, two-way trade as underlying futures traded mixed on narrow range in Whites to Reds. Salient trade includes 5,000 Sep 99.50/99.75 put spds, 18,500 Dec 97.12/97.25 call spds, 2,000 short Sep 96.37/96.62 put spds.
LIBOR: JAPAN FIX - 02/08/22
Aug-02 10:59
- JY0001M -0.05413 0.00000
- JY0003M -0.01261 0.00123
- JY0006M 0.04144 -0.00186
US-CHINA: China FM-Some US Politicians Play w/Fire On Taiwan, Won't End Well
Aug-02 10:57
Comments from Chinese Foreign Minister Wang Yi hitting wires:
- Wang: "One-China principle is the universal consensus of the international community, the political foundation for China's exchanges with other countries, the core of China's core interests, and an insurmountable red line and bottom line."
- Wang: "Some people in the United States have been challenging China's sovereignty over the Taiwan issue, hollowing out the one-China policy, and even deliberately causing trouble in the Taiwan Strait. The Chinese people will never accept this, and the international community scoffs at such unprovoked provocations."
- "During the [ASEAN] visit, leaders of all countries clearly stated in their meetings and talks that they firmly adhere to the one-China policy, and they all believe that Taiwan is an inalienable part of China's territory and oppose external forces interfering in China's internal affairs on the Taiwan issue. This once again shows that the one-China principle is the popular aspiration of the international community and the general trend."
- Statement: "Wang stressed that the perfidy of the US side on the Taiwan issue is deplorable and can only further bankrupt the US's national credibility. Some politicians in the United States only care about their own interests, openly play with fire on the Taiwan issue, and become enemies of the 1.4 billion Chinese people, which will never end well. The exposure of the US bullying face to the world can only make it clearer to the people of all countries that the US is the biggest destroyer of today's peace."
- Foreign ministry statement: https://www.mfa.gov.cn/web/wjdt_674879/gjldrhd_674...
