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Eurodollar spreading
- Thread starter cdcaveman
- Start date
GE,ZT - (2) ZT MAR 31 '14 + (3) GE MAR 14 '16 Combo
this is actually the correct combo... as per CME's website.. i had it all freaking wrong again... its 3 Eurodollar contracts against 2 two year tbill futures...
I can't imagine how you speculate on what you would make on a tick... they have both different tick increments and multipliers..
GE = .01 = 25 bucks
ZT = .0078125 x 2000 multiplier.. = $15.625
umm.. no clue if thats even right.. but how to keep track of what your PNL is when both legs move, and they both have different values.. doesn't make sense to me ..
this is actually the correct combo... as per CME's website.. i had it all freaking wrong again... its 3 Eurodollar contracts against 2 two year tbill futures...
I can't imagine how you speculate on what you would make on a tick... they have both different tick increments and multipliers..
GE = .01 = 25 bucks
ZT = .0078125 x 2000 multiplier.. = $15.625
umm.. no clue if thats even right.. but how to keep track of what your PNL is when both legs move, and they both have different values.. doesn't make sense to me ..
Correction: FF futures are based on fed funds effective, not tgt.Quote from cdcaveman:
so FF futures.. or fed funds rate futures.. are futures on the fomc target.. you trade those against treasuries or against Eurodollars..
is this like the whole RAte to price thing that makes it hard to trade.. you wanna trade rate to rate ,instead of price to rate?
Well, you don't really have a choice when trading bond futures, 'cause they are quoted in price. You could always convert the price to rate for everything you trade and always think of yields, rather than prices.
Quote from Martinghoul:
Correction: FF futures are based on fed funds effective, not tgt.
Well, you don't really have a choice when trading bond futures, 'cause they are quoted in price. You could always convert the price to rate for everything you trade and always think of yields, rather than prices.
So you use FF against GE, for riskless, against risky...
yeah.. i'm going to have to figure that out .. i just wanna trade rate against rate... not have to do all this crazy conversion,i'll do it if i have to.. its just confusing trying to figure out how much money yo u just made or lost!
You can, except that rates might actually rise (or at least the mkt might think so).Quote from cdcaveman:
So in theory could you say put 500k or 250k in an account.. Then buy Eurodollars and bear the interest rate volatility to make two or four times the implied rate for 12 months by using the leverage of these futures... ??? Anyone
Quote from Martinghoul:
You can, except that rates might actually rise (or at least the mkt might think so).
So you not actually making a leveraged interest rate.. Your just slowly rolling off the yield curve.. In the rare case short term goes over long.. You lose... Hence fly's and condors are lower vol with a more curve specific expression...
Fly and condors, yes... As to the outright long trade, you can think of it as a terminal rate bet. So, let's say you bot U6 Eurodollars. If by the end of 2016 rates are still at 0, you stand to make a lot of money (if we forget about mtm volatility).Quote from cdcaveman:
So you not actually making a leveraged interest rate.. Your just slowly rolling off the yield curve.. In the rare case short term goes over long.. You lose... Hence fly's and condors are lower vol with a more curve specific expression...