More liquidity on Eurodollar for sure but it's been so quiet lately... At least I get a bit of movement on commos. Yes, spreads and flies and very rarely outrights.
Eurodollar spreads model and trend great - but you absolutely have to sit with it to make it worthwhile. I've had on some GE spreads for several months. Literally.
Eurodollar spread flattening a lot. Z19-Z20.. are near 11 points, any idea? I know no inflation and maybe no more rate rise next year.. but to have this spread so deep in my opinion should be a good opportunity for long time.. ???? I just close long fly, the Z7 U8 Z7, I get out at 4 and last lots at 7... I went long near 0.. but as bone is saying... you need to be patient in this spreads !!! Thanks Greg
I think this is probably due to Taylor being considered as Chair which would be bad news for the long end. I am long Z9-Z0 but will stop out if he is selected. Would keep if anyone else is.
Ok I got it, he whats to put the rates to 0, couse the real rates are 0.. As we do not see the inflation is possible.. Thanks Greg
Been doing some homework on the HRW vs SRW spread. Curious if anyone is calendar spreading the exchange supported spread. Haven't looked into what kind of fills would be reasonable on this but anyways; Z7 vs N8
I think I did calendar spreading the KW/W However it's the same as calendar in KW and calendar in W In KW/W, we have to be careful that KW is not the standard export of US HRW, it's much lower quality (and there is much more of this lower quality). Which explain why KW/W is stuck around 0 for a while
@Rachmaninov good point on spreading the two calendars rather than the exchange supported kc/chi spread
Lean Hog butterfly (Z7-G8-J8) - Long around -1.6. Or as an alternative short on G8-J8 as I believe it will catch up Z7-G8 (I am short on Z7-G8 @ -3.8).