Eurodollar Spreads/ Eurodollar

fandyur,

I'm spending some time with this, but I'm not sure how you're creating the "netlg" column. I've updated the spreadsheet for 3/20 except for that.

You may be interpreting the divergences too literally. Perhaps it's a strong signal of a trend change, and you should look for confirmation on the daily/weekly chart.

The final "divergence NG" you marked is actually consistent with my views of where the ED should head. So, I'm liking it. :-)
 
FA said:
"I'm spending some time with this, but I'm not sure how you're creating the "netlg" column. I've updated the spreadsheet for 3/20 except for that.

You may be interpreting the divergences too literally. Perhaps it's a strong signal of a trend change, and you should look for confirmation on the daily/weekly chart.

The final "divergence NG" you marked is actually consistent with my views of where the ED should head. So, I'm liking it. :-)"
FA:
netlg: On the weekly COT report I take the large speculators long positions and subtract the large speculators short positions.

Remember 3/20/2007 has to show sept 2007 as the front and sept 2008 as the back.

Yes, I am taking the divergences literally.
The final divergence NG, should have brought sept 2008 down quicker than whats happening, so I labelled it NO Good.
Glad to hear you're looking into it.
 
Quote from FullyArticulate:

I really like M7-M8 here. I already have mid-curve puts on M8, otherwise I'd be in this one. :-)
More...

Question: Is that long June 2007 and short June 2008 or vice versa?

Sorry, I am confused by the terminology a bit still. Thanks for the CME PDF file.
 
Yeah, long June '07, short June '08.

June '07 is starting to price in a raise in interest rates, whereas June '08 is pricing in a 50bp lowering in rates.

I personally believe in the raise & inflation case more than the lower & recession case. As a result, I think June '08 is going to move down pretty big. June '07 will give me a reasonable amount of protection if I'm wrong before then.
 
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