Before March 10, 2023, these kinds of moves had been exceptionally rare. In eurodollar futures and now SOFR futures (term), daily swings of greater than 20 bps were reserved for the most momentous occasions. Contract prices skyrocketed, for example, when news of Lehman Brothers hit. They doubled even that the Monday following SVB.
Yesterday was different. Though contract prices shifted more than 20 bps, this time it was in the other direction. Starting around 7:30 am EDT, the crucial June 2024 was up to around 96.13. Over the next nineteen minutes, a massive wave of selling (hedging) took the price down to 95.92. It was as intense and acute as those days in March had been.
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