3 month LIBOR

Discussion in 'Financial Futures' started by rayl, Sep 6, 2007.

  1. rayl


    Is there a good instrument for locking in the presently high 3 month LIBOR rate? There are 1 month futures & futures options on the CME, but what about 3 month? Are Eurodollar futures the answer? Thx.
  2. rayl


    To clarify, the reason I don't like the Eurodollar futures is that they are based on future expectations -- e.g., with the Oct contract, I'm trading what I expect the rate to be in Oct. Whereas what I'm really looking for is to lock in the premium today vs. say Treasuries. Is there a good instrument or combination of instruments to do this?
  3. Here's the dope. Three month LIBOR is the front month Eurodollar contract. No way around it, lol.

    It used to be easier getting the TED spread real time when there was an actively traded T-Bill contract. Now you'll need cash market data.
  4. rayl


    I guess that's exactly what I'm asking -- is there no easy way to get a "spot" 3 month LIBOR.... I'm hearing no, which is what I feared.
  5. dhpar


    by trading Oct07 fed fund futures against Oct07 eurodollars you can basically achieve what you want to do - but given the recent volatility it can be done only roughly.

    be careful - as I pointed om another thread this is an extremely leveraged amd risky trade (I already try to lock it in and was stopped out only 2 days later...:(