Eurodollar Spreads/ Eurodollar

Discussion in 'Financial Futures' started by fandyur, Mar 19, 2007.

  1. fandyur


    I'm trying to start a dialogue with the Eurodollar traders.

    According to my analysis the September spread (Buy 2008/sell 2007) which is currently at -43.5 , should continue down to at least -68.5.
  2. E R

    E R

    I trade ED spreads also. Have a Dec08-Dec07 on right now, and just riding it down.

    All of the spreads look pretty week, and seem to be working their way down hard. But, I'm curious, why did you pick that particular projection number? There's nothing on the charts to indicate that as a floor (or target).

  3. fandyur


    I'm glad I found another person following the Ed spreads.
    I was trading the June08/07 spread until March expires and then trade the sept. spread.
    On 12/12/2006 the june spread was down to -68.5 and then started a (major, my term) correction.
    According to the system I came up with, the september spread would have to hit -68.5.

  4. Given the shape of the forward yield curve, a butterfly is a pretty efficient way to play.

    Take a look at:

  5. fandyur


    I'm not familiar with the butterfly.
    I'm taking that to be options.
    Do you trade the Eurodollar futures?
  6. The trade is a futures butterfly. There's some more information here:

    (Search for butterfly--it starts on page 21)
  7. fandyur


    Thanks for the info.
  8. E R

    E R

    Great suggestion about the butterfly. I have only focused on ED spreads, and read very little about butterflies (must admit I didn't see the logic at first).

    But, given the current environment, I can see the use for them now. Especially with the uncertainty surrounding the feds next move, and the possible easing down the line, that butterfly could see some movement.

    Thanks for the info!
  9. fandyur


    Up to now I've been trading Eurodollar spreads.
    I want to get into trading Eurodollars also.
    One of the areas I've been looking into is the commitment of traders report.
    I've noticed that the Netlarge positions and my Back outright, show a divergence at each trend change.
    (Back outright is the 6th month traded. (use only Mar/Jun/Sep/Dec)).
    Unfortunately, it also shows some false divergence.
    I'm attaching a chart and data, if anyone would like to look into it.
    Maybe we could come up with some rules for trading.
    If I'm leaving any info out, just email back.
  10. fandyur


    the chart
    #10     Mar 24, 2007