Anyone trade Eurodollars?

traderjb

traderjb

I always see stuff about ES, but never much on ED/GE or other short term interest rate stuff. I follow what I can on here, like on ZB.

Recently discovered Eurodollars, love 'em. Very liquid. See you can do all sorts of stuff like calendars and even butterflies. Anyone want to share some tips/advice to us who are just starting out on Eurodollars? :D
 
I'm also interested in any insight on eurodollar options. Specifically, what sort of volatility and pricing models do you use? I find the eurodollar volatility curve is much trickier than in other markets...

Thanks.
 
It's the wonderful world of interest rates, which means normal, aka basis point vol. Here again, Burghardt is your man and his Eurodollar bible is your book.
 
Just curious, I went to my local Borders, and they had his Bond basis book. Do you recommend that as well and/or as a substitute?
 
Quote from traderjb:

Just curious, I went to my local Borders, and they had his Bond basis book. Do you recommend that as well and/or as a substitute?
More...
The bond basis book is a good read and very educational. However, it's only truly required reading if you intend to punt bond futures/cash bonds.
 
Lots of liquidity in the GE and many months to trade.

These are the current months with enough data to trade:

H0, H1, H2, H3, M0, M1, M2, M3, U0, U1, U2, U3, U9, Z0, Z1, Z2, Z3 & Z9

Another alternative is the 6E contract.
 
Those trading Eurodollar Futures, has anyone compared Swap inplied forward rates with eurodollar future rate, e.g using swaps one can arrive at forward imilied 3 month rate starting Mar11. How does this compare with Mar 11 Futures, Can somebody point me to right direction

Good Trading
Naveen
 
Quote from NAVEEVIa:

Those trading Eurodollar Futures, has anyone compared Swap inplied forward rates with eurodollar future rate, e.g using swaps one can arrive at forward imilied 3 month rate starting Mar11. How does this compare with Mar 11 Futures, Can somebody point me to right direction

Good Trading
Naveen
More...
It's in line... These futures convexity games have been played to death.

You can look at Burghardt's Eurodollar book where he talks about this in mucho detail.
 
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