Eurodollar Futures (GE)--anyone else trading these?

On another side of things :
FX Week - E-FX Survey "Average forex e-trade sizes on the rise", September 13th 2004 | Vol 15 No 36
http://db.riskwaters.com/public/showPage.html?page=190447

LONDON – The size of the average electronic FX trade is going up for corporates and real-money investors – but not in the leveraged sector of the industry, according to new research from UK consultancy ClientKnowledge.


The average size of electronic trades conducted by corporates was $7 million in 2004 – up from $6 million the year before, the firm found in its annual survey of the FX industry, which is compiled from 2,000 client interviews. Real-money investors' average e-trade size went up from $4 million to $5 million over the same period.

But average deal size for leveraged, or highly active investors – those trading more than $30 billion a year according to ClientKnowledge's criteria – was down to $5 million in 2004 from $11 million the previous year.

This may be partly explained by the disappearance of the 'nibblers' – those trading small amounts electronically every now and then – in e-FX, explained chief executive Justyn Trenner in London. "In 2002 there were two types of users in e-FX – the early adopters and the nibblers," he said. The nibblers were not so active last year, as the market contracted – enabling average deal sizes to grow. "But in the past year a second wave of nibblers are back as serious adopters," he told FX Week.

Geographically, the biggest change in electronic deal size over the past year has been in Japan, the firm's research shows.

(more...)

 

hey gringinho...just to clarify, we are not talking about Euro FX here, we are talking about the Eurodollar futures contract with symbol GE on Globex...not the Euro vs. the Dollar with the symbol 6E...

 

trdglife,

I've been coming in early the last week, prior to the equity open to play with the eurodollar a bit. Seems to me that the 30 leads even more than the 10 since it moves in full ticks. Just passing along thoughts to see if I'm on the right track.
Also, I always like to have my hedges figured in case I get in trouble. It looks like 1:5 bonds to eurodollars and 2:5 10 year to eurodollar. Do these seem right?
I do like how thick these trade though, and I'm looking all the way out at the M and U5's. Nice to see something with some volume after trading the NYSE the last few months.

 

Is it trading at CME and LIFFE? Are they the same?

 

no liffe has NO liquidity (yet??) but some do argue the liffe platform/matching engine is better than globex for spreads as there is more functionality.

 

Contracts are identical (though not fungible) and it is acknowledged even by CME execs and life-long members that the LIFFE platform is better. CME, however, has made it easy for large market makers to transition from pit to screens, there by keeping liquidity providers trading there which in turn keeps large institutions trading with them . LIFFE has a tough road ahead.

 

I would say that in my experience the 10yr leads the majority of the time...30yr does appear to lead on some days, such as yesterday, when there are curve flattening trades being put on for example...in other words, buying 30s selling 10s...or selling the NOB (notes/bonds spread)...in that sense you will see the 30 yr bid bid bid and the notes not really moving...then as bullish sentiment prevailed yesterday...the 10yr went moon bound in a sense catching up to the 30yr...however, since the treasury doesn't issue 30yr bonds anymore it's relevance is somewhat diminished when compared to the 10yr...

as for hedges, I would suggest hedging within the ED months rather than trying to get out of trouble in the long end...because of the much higher volatility in 10yrs, it will never be a perfect hedge anyway...

 

great thread guys.

Im surprised there arent more contributors here - seeing as its one of the worlds most liquid contracts

 

Well I would think quite a few people are trading GE...... considering the open intrest is just over 6 000 000

 

I am surprised that the CME's implied spreading system, Eagle, has not been mentioned here. Eagle effectively removes the arb between 2 outright and the spread market. Why take the out right risk of quoting one fut vs another when you can simply enter a spread order which will execute if the 2 legs trade at the given spread level?