eurodollars/eurbor traders

How is there any way to obtain an edge in a market like eurodollar calendar spreads( unless you're a bank). Seems too efficient.
 
I found an edge.
Its taken me several years but I've isolated a trend change from a correction in both the Ed spreads and also the outrights.

Considering only the 4 main months, for the spread, H,M,U,Z.
I do TA and trade on the 2nd and 6th month.
Currently:
Ed Spread has been in a correction since the high on 8/7/2009.
Outright is also in a correction.
 
after voluntary decision to cease trading i am a private individual who trades money market yield curve trades specialising in exchange stirs who has returned to frey as normality(if such a thing exists) on libor based products to a big degree has returned and risk management and valuation decisons are possible again .Had good trades over december.
 
with front fly more normal at -7
m basis to delivery sub 25
now for m its worth building a short
ecb will remove liquidity between h and m
optionality for another libor crisis always favors a short position and with official repo at 1 percent and a recent december low for m of mid 70,s risk reward favours a short sold 11.5
might be worth a h/m long as a defensive wya of shorting m
 
You got to ask yourself one question...

What if Greece defaults next week and there's a LIBOR crisis? Long H/M ain't gonna do too well.

Alternatively, what if the ECB actually decides not to remove liquidity, since they believe the banking system is too fragile? Do you wanna be short Jun?
 
agreed whilst greek spreads deteriorated last week 2 yr still not back to dec wides plus i feel the political elite will not allow a default and the threat to emu project.this crisis suits the agenda of the elite .Imf bailout is the likely conclusion at a sovereign independence price, which exactly suits the emu project and its ultimate goal and neccessity political union.possibly not good for h/m i agree but for an outright short which i preferred a libor crisis is huge helpful optionality, austrian and german exposure to greece is huge and lending distrust leading to increasing libor spreads is likely
basis is now very tight everywhere
brave long here at these levels my view is square or short
m is lead volume month
fly had moved from par to -7 which makes m most attractive as the short
eonia both 1month and 3 month tell you ecb will start liquidity
removal particulalry in april may and june
ecb have told us they will
cbs have started the logical process
emergenct repo maturities are huge hence short dates sub repo
largest for ecb is in m
what they havent told us is how much
more info at h meeting according to trichet
if you dont believe in ecb liquidity removal then of course short is crap and the long will obviously reward
 
covered 1/2 m short stop moved down
run the balance
front fly starting to look a sell again starting at -2.5
retraced from -7
still very directional on m as you would expect
but basis will start to bite into next month
would like pars but not sure it will get there
 
interesting volume changes on months this morning
dec10 and mach11 lead volume on the down
fed statement "using words extended period" extending to global stirs
front fly going to -4 on a down move
first time this year
nothing done yest at -2.5 more confident of short
sold -3,s and -3.5 to start
 
eibor
as market has come off a tad more front fly fy has returned to par this morning
added to the short from -2
odd sep/dec activity yest
big volume seller early on lead volume spread by miles
26,s were doable first 4 hours
front condor approaching +2 is perhaps a better sell than front fly now
doesnt double the m leg position and with the eonia clearly still pricing the m repo maturity as the liquidity issue might be better to avoid double m long leg until m is sub 90

s stg
covered all 2nd condor shorts to go square last taken off today at -12
 
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