STIR derivitives relevant to eur/usd?

E

Elitist Trader

After looking around, I have guessed that the "30-day Federal funds futures" on the CME would be most relevant to the USD, but for the Euro I'm not quite sure what to look at.

These are my guesses:
> One month EONIA futures on Eurex
> One month Eonia futs on EuroNext
> Euribor futs on EuroNext

Which one is the euro equivalent of the federal funds futures?

The time frame for my eur/usd trades is from 5 to 30mins...So would that mean that looking at the closest futures month is the most relevant?
 
The EONIA futures (one-month and three-month versions exist) would be the equivalent of the FedFunds contract in the US, if they actually traded. Problem is that they were introduced only very recently and there's been very little take-up from the mkt participants. Therefore, if you want to look at rates you're going to have to use Euribor futures, which are (mostly) equivalent to Eurodollars in USD. Obviously, you need to be aware of the various caveats.

As to your other question, what does the time horizon of your trades have to do with which contract you look at? If you trade spot FX, what you care about is probably fronts (but not the first contract), reds and, to a lesser degree in EUR, greens. However, as a rule, the closer you get to the maturity of the first future the less it will move and the less useful it will be to you.

Does that make sense?
 
Quote from Martinghoul:

The EONIA futures (one-month and three-month versions exist) would be the equivalent of the FedFunds contract in the US, if they actually traded. Problem is that they were introduced only very recently and there's been very little take-up from the mkt participants. Therefore, if you want to look at rates you're going to have to use Euribor futures, which are (mostly) equivalent to Eurodollars in USD. Obviously, you need to be aware of the various caveats.
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Well as long as there are arb bots, it should be ok. I just need to watch it in case Trichet/BB says something that makes the rates markets go crazy, which will in turn make my market go crazy. I don't plan on trading these stirs.

Quote from Martinghoul:
As to your other question, what does the time horizon of your trades have to do with which contract you look at? If you trade spot FX, what you care about is probably fronts (but not the first contract), reds and, to a lesser degree in EUR, greens. However, as a rule, the closer you get to the maturity of the first future the less it will move and the less useful it will be to you.
More...
The time horizon question was really just a stab in the dark to see if it was relevant.
 
Quote from Elitist Trader:

Well as long as there are arb bots, it should be ok. I just need to watch it in case Trichet/BB says something that makes the rates markets go crazy, which will in turn make my market go crazy. I don't plan on trading these stirs.
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No, sorry, I wasn't sufficiently clear about the EONIA contracts. They just DON'T trade, period. There's no arbing, no bots, no nuthin'. Open interest on these contracts at the moment is 0. There's a settlement px every day, but that's about it.
The time horizon question was really just a stab in the dark to see if it was relevant.
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It shouldn't be directly relevant.

Basically, Euribor strip is your best bet...
 
Quote from Elitist Trader:

Any major difference between the "Eurex Euribor" and the "Euronext Euribor"?
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I think they're defined the same way. However, nobody really cares about Eurex Euribor and there's virtually no liquidity in it (e.g. open interest on Eurex Sep9 Euribor contract is <20k; OI on LIFFE Sep9 Euribor is >600k).

It was just a misguided attempt by Eurex to try to take business away from LIFFE.
 
Quote from Martinghoul:

I think they're defined the same way. However, nobody really cares about Eurex Euribor and there's virtually no liquidity in it (e.g. open interest on Eurex Sep9 Euribor contract is <20k; OI on LIFFE Sep9 Euribor is >600k).
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Thanks Martinghoul, you help is greatly appreciated :)
 
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