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Eurodollar spreading
- Thread starter cdcaveman
- Start date
It's difficult for me to imagine why I would ever wanna do it. This is, essentially, a weighted condor and I honestly can't think of a good reason off the top of my head to do something like this. In general, the utility of these fanciful structures diminishes once you get past 3 legs, IMHO. I have done ED condors a few times and a spread of flies once, but that's about it.Quote from cdcaveman:
(a) buying 1 of the nearest delivery month (Leg1),
(b) selling 3 of the second nearest delivery month (Leg2),
(c) buying 3 of the third nearest delivery month (Leg3), and
(d) selling 1 of the farthest delivery month (Leg4).
I don't get why you would do this.. what would this expression be trying to accomplish? like why would you do this?
Quote from dunleggin:
Here you g:
http://www.cmegroup.com/education/interactive/webinars-archived/implied-price-functionality.html
yes it basically shows you how cme fills spread orders including butterflys with no leg risk. . it wont market condors though...
Condors are just wide butterflies really... You can't get a fill on the entire structure at once... So unlike fly's you can't just leave a lot of limit orders out to provide liquidity to one side of the market... The wider the structure the more variance... So condors are a riskier play..... Sometimes you want the risk... Why put 5 fly's on when you can put one condor and get the sane risk... Unless you are trade specific part of the curve which dictates a fly
Quote from cdcaveman:
Condors ... You can't get a fill on the entire structure at once...
Really? According to the CME's 2011 Guide:
"In addition to Packs and Bundles, eight other popular combination strategies are standardized on CME Globex, permitting market participants to transact them directly in spread form, instead of having to leg into or out of them. These include calendar spreads, butterflies, double butterflies, condors, ..."
Seems as if condor is a recognized user-defined spread. No doubt someone here can confirm
Quote from cdcaveman:
This is all research
The best source (apart from the uber-generous Martinghoul) I can point you to given what you've asked so far is Stephen Aikin's work
Quote from dunleggin:
The best source (apart from the uber-generous Martinghoul) I can point you to given what you've asked so far is Stephen Aikin's work
I have Aikin's book and agree, it's a good read. Especially for stir prop traders.
Yeah, condors (and the more funky stuff) are tradable, just like regular flies.Quote from dunleggin:
Really? According to the CME's 2011 Guide:
"In addition to Packs and Bundles, eight other popular combination strategies are standardized on CME Globex, permitting market participants to transact them directly in spread form, instead of having to leg into or out of them. These include calendar spreads, butterflies, double butterflies, condors, ..."
Seems as if condor is a recognized user-defined spread. No doubt someone here can confirm
And yes, Aikin is sort of a STIRs bible.