I agree dunleg, all the things you mention are causing alot of size to trade in a tight range in these ED markets...in ranging markets it is much easier to see where these hedgers and spreaders are taking positions...usually you can tell when 'things aren't making much sense'...in other words, a lot of these guys don't necessarily care about the absolute price of the contracts, just the spread between and the size they can do to offset other positions...this further exacerbates things as these short end markets get bogged down with big order flow but no real momentum either way...this in my opinion changes the way you would normally interpret your entry and exit signals... it is true as others mentioned...sometimes you have to ignore the size and stay in a trade you would otherwise be looking to exit...for example, today in SEP05 someone sold about 5500 contracts at 18 and 17.5 in one clip when very little was happening and in fact shortly thereafter 19's were trading... In another example, someone lifted about 2000 contracts at 18.5 and about 4 minutes later it was trading 16.5...talk about lack of momentum...
Basically, quoted as 100 minus the implied interest from the Fed at any given point in the future. IE Sep 2005. Hi, Been reading this thread for while. I am a European trader working in an arcade. We have very recently switched over to more US products due to the manipulation of the European markets on Eurex by some very big players. Started in euro$ on Monday. However, our back office haven't told us whether there is any modification or cancelation charges for orders. Could someone please indicate if these are in place or not? On LIFFE, in the Euribor contracts they have some formula for orders entered against orders executed, and if your ratio is too low you get a small charge for pulled orders. Doesn't effect myself but does hurt those people using the damm autospreader. Wondered if something simular was in place at CME. Chris
Chris, The CME does not due this as an exchange but some individual clearing firms do. Send me a PM if you think someone is taking advantage of you in U.S. products...I used to be a broker.
good point...the problem is that paper in this product tends to be quite smart...so when this abruptly changes (apparently), those who are used to following paper have to adjust rather quickly while wondering just what the hell these guys are thinking...lol
Great thread. Don't trade fixed income but it's nice to have insight into a new kind of trading. What is the average spread in your experience? 1 tick? 2 ticks? And do any of you try and capture the bid ask spread? Thanks.
There was a point in my sorry life when I fed myself by doing vol carry trades on euro$ options. Loved it. What I was (and still am) amazed about is how cheap midcurves are - any one cares to offer an idea? I have one, but will share it tomorrow.
sle - am interested to hear your thought(s). Would you include how you define or measure 'cheap' or at least your judgement that they were and are cheap, thanks
to all trading Eurodollars...the CME changed their electronic error policy. Make sure you guys study it, because i will affect anyone trading spreads or anyone who puts offers and bids outside of standard deviation levels hoping to take advantage of an odd move. It also confirms my suspicions about volume levels if you read between the lines. Trdingliffe, you will know what I'm talking about as will a lot of ex-brokers like myself.