First of all, I'm not really a bond type of guy - and I've only recently started to grasp some of the basic concepts of interest rates, and also the enormous amount of strategies that you can trade when you spread the various contracts/durations/months against each other. The possibilities are as close to endless as you'll get in the financial markets. Perhaps I should have chosen the second legs a bit further out - I don't know. I still think I'm getting a lot of any movement - and the volatility drops the further out you go. Probably it's wiser to focus on entry/exit and money management, at least for me. The volume drops off when you go more than two year out, but within two years there's plenty of contracts for anyone - both ways. The spreads are also very tight, so you'll often get hit or lifted if you join the bid/ask. Spreading within the first two years is usually only two ticks wide, except for the monthly contracts which you should stay away from unless you want to be a market maker in them. I know trading Euribor (the EuroEuro, hehe) is big, and also the bund on Eurex. There is a lot of spreading in Europe done by the prop firms/desks. There is a book published in the UK about this which I have not read myself: Trading STIR futures by Stephen Aikin. http://www.harriman-house.com/pages/book.htm?BookCode=22856 He also has a website devoted to the book, which has a forum where you'll be able to find links to a few articles he's written which are very interesting and gives good insight into professional techniques: http://stirfutures.co.uk/ Good luck with your trading - still keeping track of your journal!
hrokling Many thanks for the reply. I will be getting that book. Great journal so far and I wish you the best in 08 YT
How big do yov trade in the eurodollars? as in what size? I trade the spreads too. Lets do this. Go in the chat room during the day and tell me what spreads you'd like to get off and I'll make a market against you. I only scalp for a half tick and you hold for longer than that so we won't be in competition. If anything, I could help yo w/ the timing of an entry...i.e. when you might get off a bid or offer or when you'd have to pay the spread. Speaking of which, are yo familiar with E.A.G.L.E. ? the mercs electronic spread legger. If eagle is filling yo most of the time, you cold be getting a better price.
OK, so here we are: Bernanke cut another 50 bp and NFP is stealing profits. 1/3 already given back. Exiting as I'm writing this, here are the fills: Sold 2 Mar 08 / Sep 08 @ -0.530 - profit 0.1275 Sold 2 Mar 08 / Dec 08 @ -0.485 - profit 0.2325 Sold 2 Jun 08 / Dec 08 @ -0.050 - profit 0.230 Sold 2 Jun 08 / Mar 09 @ 0.070 - profit 0.340 Total profit is usd 4.650, and at the max it was well above 7.000 usd. My original intention was to trade this completely mechanical, but I know the system well enough to know that I'm going to give a whole lot back now and also enter a period of grinding where I'll be taking small losses. I will spend a few days thinking about that, and also how to preserve profits. So far the return is 29%.
Looks like there was a little run up from Mar 1 until now. If cant rally thru the .20 level, a possible short trade in our midst. http://futuresource.quote.com/chart... 'QED M9'&o=&a=D&z=610x300&d=medium&b=BAR&st= Anyone w/ a fundamental view on STIR's and this spread ??