TED spread

B

berbo

There appears so little information available on the classical TED spread and therefore hope that somebody on the board can give me some information.
1)suppose that I would sell the 3 front-month TED spread and wait until expiration, what can go wrong??
2) where can I find a chart/quote on the TED spread?
3) any brokers that might be suitable for this type of trades??
4) Besides the Superinvestor Files, any literature available on the subject?

Thank you for your insights.

Berbo
 
Quote from berbo:

There appears so little information available on the classical TED spread and therefore hope that somebody on the board can give me some information.
1)suppose that I would sell the 3 front-month TED spread and wait until expiration, what can go wrong??
2) where can I find a chart/quote on the TED spread?
3) any brokers that might be suitable for this type of trades??
4) Besides the Superinvestor Files, any literature available on the subject?

Thank you for your insights.

Berbo
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Since T-Bill futures are no longer listed, the easiest proxy is 2yr note futures vs. the Euro strip. (unless you can access 3mo T-Bill data from the Fed and then compare it to Libor)

Selling the spread implies belief that bank rates (LIBOR) will converge to Treasuries. Personally I wouldn't make that trade. It's like selling a put. In the early 90's the TED frequently traded north of 150bps. It's a third that now.

Perhaps you mean buying the spread?
 
Instead of the TED, you may want to consider trading LIBORS versus Eurodollars or front-month Eurodollars versus back-month Eurodollars. The "flight-to-quality" behavior should correlate well to what the TED would do. In a crisis situation, the LIBORS should rally more than the Eurodollars & the front months should rally more than the deferred months.
 
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