anyone notice the LIBOR rate?

Discussion in 'Trading' started by Warrior4g, Sep 5, 2007.

  1. its been going up for the past 2 weeks and nobody has really taken notice until today. good article in the wall steet journal about it.
  2. dhpar


    well unfortunately I noticed - lost lots of money on spreading fed funds against eurodollars...
  3. dhpar... what months?
  4. dhpar


    mixture of Sep07->Dec07. later contracts were needed to offset the fact that target is recently above the effective rate.

    it was a stupid trade. not that the idea itself was stupid but it was extremely risky (+leveraged) and it was likely i am going to get killed before it gets better - well lesson learned the hard way.
  5. abc1


    How strongly is this spread linked to LIBOR ?

  6. dhpar


    it used to be extremely strongly correlated - now it is almost independent...(actually it is likely negatively correlated)