A typical eurodollar spread, of which I can model hundreds with EOD data, as an example, has an overnight margin of $700. This seems like a good market to measure and construct neutral spreads. I see that this market is not what it used to be with ZIRP , however, on a yearly chart the variance around that $700 margin is OK with me. It also seems the neutrality of spread trading really dampens the FOMC meetins/minutes/comments Etc. that is common in the individual contracts. My question is: Is this market less exposed to stop runs, algos, HF , fat fingers, rogue traders, and all the rest that gets so much attention. What happened in this market on flash crash day 5may2010? I am new to this market. Thanks.
Less exposed than what? It's the same sh1t everywhere, innit... Relatively speaking, nothing much happened to ED spreads on flash crash day.