EUR/USD Cash vs Futures

Discussion in 'Forex' started by Hurricane, Oct 2, 2008.

  1. Yesterday I noticed that the December 08 EUR futures contract was about 20-22 pips higher than the cash market. When I checked this morning, it was in the 8-10 pip range. With no change in interest rates overnight, what would account for this? Expectations of an interest rate change?
  2. Pippi436


    The determining factor of the spot - future spread is not necessarily the respective rate differentials of the centralbanks rates but what is acutally achievable in the interbank swap/moneymarket. As you might have noticed, these two things are not really similar as of late. Its difficult/expensive to borrow, rates are all over the place. Its just a reflection of the current state of affairs in the moneymarkets.