EUR/USD spot <> Eurofx future

Discussion in 'Forex' started by fluttrader, Sep 17, 2008.

  1. At 08:30 London time the difference between the 2 was about 40 points , now it is only about 17 points.

    I have never seen such a big decrease in 1 day , what's going on ?!
     
  2. and now it's only 6 points ?
     
  3. garbo

    garbo

    Price of a forward currency contract ("future") is dependent on interest rate differences between currencies. Since future interest rates are suddenly up in the air, I bet the arbitragers have turned off their machines (futures vs. spot) so we have all these relative fluctuations today. Never seen this before, but only been trading since 2001.
     
  4. Libor-Rates out of whack? The forwardpoints are a function of the Libor-rates differential and the time to delivery.
     
  5. Dec EuroFX trades 1-2 pips above spot today (on monday it was ~55 pips), implying a nearly flat o/n interest rate differential. I guess Oanda and the likes who still pay positive rolls for long eur/usd are loosing money on this. Not worth trading it in my opinion tho.