Eurodollar Futures Spreads

Boring is excellent in trading, and spread trading if done right is the most boring to trade. I mostly do outrights, and when Eurodollars gets above 99.70s, short the heck out of it and just wait it out. Last few years not been much in moves outright, but perhaps spreads been more active in distant months? Yep, heaviest futures market in the world I believe unless Europe has heavier energies?
 
I loved trading them too.
Margins would be $100 a spread of so IIRC???
4 pt move doubles your money.
I think bull spreading them has worked for 12 consecutive years, no???
 
LacesOut said:
I think bull spreading them has worked for 12 consecutive years, no???
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Well, you really don't want to have delta directionality with flat price future. You might as well just buy or sell a GE futures contract and dispense with the complexity and execution expense of a spread IMO.

In GE, we use alot of butterflies and condors to make plays on forward curve convexity changes.
 
Trader13 said:
Given the low range in ED spreads, you really need exchange member commissions to make it worthwhile.
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Sure, that's true if you are day trading for a tic or two.

But that's not really the case if you are swing trading a bit further out in the curve. I have a client who I met with on Thursday who has taken 3 GE trades since last fall - his average holding time was ~ 3 months, and his average profit was ~ $750. So, retail rates of let's say $5 per R/T on a butterfly or condor is not going to be a factor. Remember that the expiries further out on the curve will have more volatility than the front months. Just take a look at the daily trading ranges of 2016 versus let's say 2018 for example. Big difference.
 
Here one can see the considerable difference between the recent daily trading ranges for Sept 16 GE (Orange Bars) versus Sept 18 GE (Blue Bars).

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There's solid open interest and workable daily volume well out on the forward curve:

http://www.cmegroup.com/trading/interest-rates/stir/eurodollar_quotes_settlements_futures.html

So yes, it has been and continues to be a bit mundane with respect to trading range due to monetary policy - but it is still very much a profitable venture if you know how to play it correctly and with some smarts.
 
endicottsteel said:
ICE European Gasoil front calendars are the thickest energy futures I have come across but I think EDs trump them.
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Followed closely by Brent which usurped total OI of CL back in 2015 I believe. Also, I think Gasoil aggregate OI is even greater than both HO and RB combined. ICE also has a superior implication algorithm that can even handle spreads of spreads.

Okay back to ED.
 
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