my 2 cents; if you're going to play in euros then you should probably have the cash market up at all times (preferably CTD and OTRs) so you can actively follow the TED spreads. Burghardt's book will tell you how to do this. While you might not have the financial resources to trade TEDS directly; they can be indicative of what the market may do in terms of curve as the places to hedge along the GE curve are known as liquidity in 5, 10 yr bundles are usually too low to hedge size.
Eurodollar trading is all about following the volume and arbing between spreads, packs, bundles, strips to the outrights using the implied markets. Get yourself a good fixed DOM order entry platform and a good spreader. Watch the flows and know when to get out. Trade size. You'll kill yourself trading small amounts for small moves and there aren't enough big moves in the day to compensate trading anything under a ten lot. Trading 100 lot or better spreads is the way to go.
40 pips x US$12.50 per pip x 10 contracts = US$5,000.00 x 20 trading days a month = US$100,000.00 Now that is the Euro FX but a 10 lot can earn you a wonderful living.
I agree, trading eurocurrency (6e) is a great trade and I'm in there as well. My post was referring to eurodollar (GE).
Vanilla swaps include implied 3M reset rates. Best not to go past 2 year strip when comparing to swaps, as liquidity drops off.
Eurodollars are quite easy to trade and cheap. No need to use options, margins are low. I trade months that are one year out, but there is no use in daytrading. I hold positions between days and upto months. Can send you some results if you want.