Eurodollar spreading

[Martinghoul]

Quote from cdcaveman:
What's a proper strip of Eurodollar

Right, let's look at a specific example...

If I buy a clip of ZT TED (I call it TUTED, since TU is the BBG ticker) today. In order to do it correctly(ish), I would do the following:
Long 1000 Dec13 2y note futures
Short 222 Dec13 Eurodollar
Short 221 Mar14 Eurodollar
Short 221 Jun14 Eurodollar
Short 219 Sep14 Eurodollar
Short 219 Dec14 Eurodollar
Short 218 Mar15 Eurodollar
Short 218 Jun15 Eurodollar
Short 33 Sep15 Eurodollar

The bunch of Eurodollars above is a "strip". The "quick and dirty" method described in the doc you've attached implies trading just, say, 393 Mar-Dec14 packs, rather than the whole lot above.

 

[cdcaveman]

Quote from Martinghoul:

Right, let's look at a specific example...

If I buy a clip of ZT TED (I call it TUTED, since TU is the BBG ticker) today. In order to do it correctly(ish), I would do the following:
Long 1000 Dec13 2y note futures
Short 222 Dec13 Eurodollar
Short 221 Mar14 Eurodollar
Short 221 Jun14 Eurodollar
Short 219 Sep14 Eurodollar
Short 219 Dec14 Eurodollar
Short 218 Mar15 Eurodollar
Short 218 Jun15 Eurodollar
Short 33 Sep15 Eurodollar

The bunch of Eurodollars above is a "strip". The "quick and dirty" method described in the doc you've attached implies trading just, say, 393 Mar-Dec14 packs, rather than the whole lot above.

Geez thats gotta end up with alot of margin no?

 

[Martinghoul]

Quote from cdcaveman:
Geez thats gotta end up with alot of margin no?

Well, there's some netting between ED and treasury fut contracts, which would make things easier. But, other than that, margin's what you gots to pay to play, innit?

 

[cdcaveman]

Quote from Martinghoul:

Well, there's some netting between ED and treasury fut contracts, which would make things easier. But, other than that, margin's what you gots to pay to play, innit?

What's the margin... Do you know..what's innit?

 

[Soon2Bgreat]

Quote from cdcaveman:

..what's innit?

Britspeak for "Isn't it?"....but by avoiding the use of an apostrophe it's also a punctuation arb that Martinghoul is cleverly exploiting.

 

[Martinghoul]

Quote from cdcaveman:
What's the margin... Do you know..what's innit?

Not off the top of my head, tbh... I can find out what I get, but you really probably need to speak to your broker. There can be all sorts of complicated arrangements.

Like Soon2 said, "innit" is a commonly used British version of "isn't it". Like "kinell", it's just what we Brits say.

 

[cdcaveman]

Quote from Martinghoul:

Not off the top of my head, tbh... I can find out what I get, but you really probably need to speak to your broker. There can be all sorts of complicated arrangements.

Like Soon2 said, "innit" is a commonly used British version of "isn't it". Like "kinell", it's just what we Brits say.

Yea cause Mac was talking 450... Which can't be referencing the combo you just displayed

 

[Maverick74]

Quote from Martinghoul:

Right, let's look at a specific example...

If I buy a clip of ZT TED (I call it TUTED, since TU is the BBG ticker) today. In order to do it correctly(ish), I would do the following:
Long 1000 Dec13 2y note futures
Short 222 Dec13 Eurodollar
Short 221 Mar14 Eurodollar
Short 221 Jun14 Eurodollar
Short 219 Sep14 Eurodollar
Short 219 Dec14 Eurodollar
Short 218 Mar15 Eurodollar
Short 218 Jun15 Eurodollar
Short 33 Sep15 Eurodollar

The bunch of Eurodollars above is a "strip". The "quick and dirty" method described in the doc you've attached implies trading just, say, 393 Mar-Dec14 packs, rather than the whole lot above.

CD, you should be asking him about the commission trading this monster vs the margin. I still fail to see how anyone in a retail account paying retail commissions is going to compete in this market. Seriously CD, I honestly believe these need to be done at a proper prop firm. I have friends doing these trades at almost zero cost and they are struggling to even cover their monthly desk fees and that's with member rates. I'm just sayin....

 

[Martinghoul]

Quote from Maverick74:
CD, you should be asking him about the commission trading this monster vs the margin. I still fail to see how anyone in a retail account paying retail commissions is going to compete in this market. Seriously CD, I honestly believe these need to be done at a proper prop firm. I have friends doing these trades at almost zero cost and they are struggling to even cover their monthly desk fees and that's with member rates. I'm just sayin....

I agree... You should ask about commissions, margins and all the other stuff. Depending on how frequently you trade, commissions might matter less than margins and vice versa. Could be that the only viable trades you can realistically do in this space are longer-term macro ones. It all depends on what you're looking to do with these.

 

[cdcaveman]

I don't know how many times, i've heard.. oh you have to be "big" to trade that market.. And the more I learned about it, i found a way to express a similiar view and manage the ancillary risks associated with being smaller.. May ever rock be turned over, and everything i have learned might not have been at first useful, yet later turned out to be something very important.. Very few things were useless..

I remember when i was trading options, someone said to me, as many people do say.. Those are extremely risky.. Missing the point that they limit risk in some cases in a more absolute way then most any other investment in life.. I may never trade a TED or any variant of it. I might use it as an indicator.. I might use an expression that i learned while reading about TED in another market. I don't mean to be on the defense about why i'm curious about it.. Its just Fixed income derivatives are something I could learn alot from even if i never trade them.. And alot of what the TED represents is interesting to me.. As is the Crush, Crack, Spark, intercommodity spreads do.. relationships, divergent, convergent, correlation , decorrelation etc etc..