Eurodollar Futures Spreads

bone

bone

It seems like I really have to beg newer clients to start trading Eurodollar spreads. Takes a great deal of patience - I hear many complaints about "watching paint dry". You can easily be in a performing Eurodollar spread for several months. But they do have considerable advantages: they trend well, are super cheap to margin and hold, and the exchange supported spread markets are ridiculously liquid - IMO the most liquid exchange cleared product there is.

I spend a great deal of effort on spread construction with clients in order to find good opportunities along the forward curve.

mc6v6x.png


35hle6b.png
 
There's a multitude of wealthy independent traders in Chicago who trade Eurodollar spreads exclusively. For stupid size.

Endless combinations - including strips, packs, and bundles versus CBOT Treasury futures or cash or swaps or Infinity and beyond.
 
bone said:
It seems like I really have to beg newer clients to start trading Eurodollar spreads. Takes a great deal of patience - I hear many complaints about "watching paint dry". You can easily be in a performing Eurodollar spread for several months. But they do have considerable advantages: they trend well, are super cheap to margin and hold, and the exchange supported spread markets are ridiculously liquid - IMO the most liquid exchange cleared product there is.

I spend a great deal of effort on spread construction with clients in order to find good opportunities along the forward curve.

mc6v6x.png


35hle6b.png
More...

def the most liquid spreads I have seen. I have never traded them but a guy showed me in the office, literally telephone numbers up on the ladder. That said most retail are surprised when they first see how liquid the front oil calendars are.
 
Personally, I'm not aware of a circumstance (outside block trades) where the flat price individual futures is even remotely close to the bid-ask liquidity of the exchange supported spread.

There is a somewhat unique situation with the CBOT inter market treasury spreads ( where 1lots are filled as 10 bys ) but if you show size in that situation you typically get filled.
 
Last edited:
Autospreader said:
Where can I learn more about spreading Eurodollar futures
More...

There are many, many good white papers in the CME website's educational section. Having said that, from my experience those papers typically explore various uses for commercials to use spreads and are a bit "light in the pants" in terms of speculation.

If you're looking for a trading system, just make sure that you either back test it or know for sure that other traders are using it successfully before you commit live capital - with the second option I list being a strong preference. Just my own opinion, YMMV.
 
brucelevy said:
Bone when are you closing out these spreads? Last day of contract expiration? Thanks.
More...

We set profit targets and stop-loss levels at the time of order entry. So, we would have GTC limit orders working at all times while the position is opened. We have a system for determining those stop-loss and profit target levels. In fact, the volatility of the spread in question determines the holding timeframe. I want to get taken out by the market price action and not a time constraint if I can help it.

In the case of intramarket spreads, I do not like to carry open positions where the nearest expiry in that spread is within three months of the front contract. From my experience, any closer and the spread becomes too delta directional with the front month flat price contract. Hope that helps.
 
You must log in or register to reply here.
Back
Top