US EURODLR FUTURES: Post-LIBOR Settle Update: New Benchmark High Into Month End

Lead quarterly Dec'22 (EDZ2) currently -0.020 at 95.295 after latest 3M LIBOR set' climbs +0.01185 to new 14Y high of 3.75471% (+0.12628/wk).

• Short end pressed amid some swap-tied selling, otherwise, rates swinging back higher going into month end extension buying. Balance of Whites (EDH3-EDU3) steady to +/-0.010, Reds (EDZ3-EDU4) +0.035-0.045, Greens-Golds (EDZ4-EDU7) +0.030-0.050.
• Current inversion pricing extends: Mar'23/Jun'23 -0.045; EDZ2/EDZ3 at -0.270, EDH3/EDH4 at -0.470, EDM3/EDM4 at -0.600. Inversion flattens out with Blue Dec'25/Mar'26 both trading 96.33.
• Thursday option roundup: Session trade rotating around significant vol sales in short end SOFR options (Mar'23 strangles) and varied upside call and call spd buying in Tsy options. Interpretation: option accts seeing appr 50% retrace in underlying futures from Wed's post-BoE buy program-tied rally as new support, at least in the near term, with call buyers looking for gradual drift higher through early 2023 as market vol cools.