Eurodollar Futures (GE)--anyone else trading these?

dunleggin · Jan 20, 2005

Quote from Acidjazz:

Now looking at the 12mth flys. EDH5/EDU5/EDH6, currently trading at the top of its range. How do u determine it normal value, I think it might fall, but this I determine from the charts, no real fundamental reason. It could drop to 10 or 15 ticks, just a guess.

Greenwich's Jim Lee appears to hold a similar view:

http://www.gcm.com/frontpage.asp?stay=1

nononsense · Jan 20, 2005

Hi All,

I have been looking on and off at GE for many months now without making a single trade. I am quite puzzled by the very few trades I observe (using TWS) as compared to many other minis. The bid/ask sizes as shown on market depth are impressive though.

Any comments?
Thanks.
nononsense

Acidjazz · Jan 20, 2005

Quote from dunleggin:

Greenwich's Jim Lee appears to hold a similar view:

http://www.gcm.com/frontpage.asp?stay=1

Thanks, tried to access the article, but can't, have u got a copy.

suntzu · Jan 20, 2005

Quote from dunleggin:

How are you relating the 2-10 spread action to your expectation for the Z5-H6?

Hi dunleggin,

Thanks for the link to RBS Greenwich. Unfortunately i don't have a password. Only managed to read that one sentence that ED 1yr butterflies are all rich. Do you have the gist of his commentary?

It seems like the short-end ED curve's inflection point is the GEZ05. Everything seems to be caving in there. However all front month spreads have widened tremendously. I'm thinking whether the Z05H06 spread is the next to widen.

I compared the EDZ05H06 spread with the narrowing of the 2-10 yr spread since June 2004 and its pretty much gone the same way. The z05h06 spread has narrowed from 28 pts then to 10.5 today (I know cos I just bought some... we'll see how it goes

)

I just think that the 10 year is due for a correction, that inflation might start popping up unexpectedly. From a technical pt of view, a support for this spread looks about here. As always, timing is everything.

suntzu · Jan 20, 2005

Quote from Acidjazz:

Thanks.

Which time period do u trade, 3m, 9m, 12m, found the 3m basically with no volatility. Now looking at the 12mth flys. EDH5/EDU5/EDH6, currently trading at the top of its range. How do u determine it normal value, I think it might fall, but this I determine from the charts, no real fundamental reason. It could drop to 10 or 15 ticks, just a guess.

That's a pretty volatile fly you've picked my friend! Never tried that myself. My lil heart can't take those fluctuations! It does look toppish chartwise doesnt it.

I'm just short the U05Z05H06 fly. Unleggin them for a profit is a real pain in the a^^ though..

suntzu · Jan 20, 2005

Quote from FredBloggs:

are there any seasonal reasons for the trade? i take it the profit horizon is longer term (weeks)?

a lot of people like the 3 month spreads - but i prefer 9-15+ months. horses 4 courses. i guess risk is more controlled on a 3 month so u can do bigger size?????

Youre absolutely right Fred. A 3 month fly is certainly less volatile than a 6 or 9 mth. The quoted bid/ask size for 3-mth flies these days is pretty impressive.

I remember a time when I put in a 120 lot order for a butterfly on Globex during Asian Time about a year ago and it seemed like I was the biggest order! Cheap thrill eh!

suntzu · Jan 20, 2005

Its great to learn from other ED traders here.

I got a question. I hope someone can help.

If US stocks start to show signs of weakening, will ED spreads narrow? If so, which is going to be the pivot month?

FredBloggs · Jan 20, 2005

Quote from suntzu:

Youre absolutely right Fred. A 3 month fly is certainly less volatile than a 6 or 9 mth. The quoted bid/ask size for 3-mth flies these days is pretty impressive.

I remember a time when I put in a 120 lot order for a butterfly on Globex during Asian Time about a year ago and it seemed like I was the biggest order! Cheap thrill eh!

are flys seasonal as well as spreads? I guess they must be - i just never hear anything from moore research about flys.

sorry - cant help much with the other questions. i tend to trade what i see.

i tend to focus on cal spreads - although i really should start looking at flys too.

at the moment i see the major trend is down (front-back), but there does look to be a bottom in place on the longer term charts. so, im sitting on my hands until the trend reasserts itself or i get more upside confirmation - then i'll start looking at the various months to see which gives the best opportunity. im aware of seasonality - but dont give it as much attention as i should if i am honest.

trdinglife · Jan 20, 2005

Quote from nononsense:

Hi All,

I have been looking on and off at GE for many months now without making a single trade. I am quite puzzled by the very few trades I observe (using TWS) as compared to many other minis. The bid/ask sizes as shown on market depth are impressive though.

Any comments?
Thanks.
nononsense

what exactly puzzles you about the number of trades?

trdinglife · Jan 20, 2005

Quote from suntzu:

Its great to learn from other ED traders here.

I got a question. I hope someone can help.

If US stocks start to show signs of weakening, will ED spreads narrow? If so, which is going to be the pivot month?

I think it would depend on why stocks weaken...ie: quicker rate hikes vs. poor earnings results...

by the way, observed some serious clips in the Sep05...5000 sold at 46.5 (Goldman) and 5000 sold at 48 (Goldman again)

while the Dec05 looked heavy initially, big buyers came in eventually (don't know if it was ole' Goldie but he might be unwinding flatteners?) while Mar06 seemed to be bid all day long...as I said probably due to some of the recent curve flatteners coming off...

Eurodollar Futures (GE)--anyone else trading these?

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