fandyur, I'm spending some time with this, but I'm not sure how you're creating the "netlg" column. I've updated the spreadsheet for 3/20 except for that. You may be interpreting the divergences too literally. Perhaps it's a strong signal of a trend change, and you should look for confirmation on the daily/weekly chart. The final "divergence NG" you marked is actually consistent with my views of where the ED should head. So, I'm liking it.
FA said: "I'm spending some time with this, but I'm not sure how you're creating the "netlg" column. I've updated the spreadsheet for 3/20 except for that. You may be interpreting the divergences too literally. Perhaps it's a strong signal of a trend change, and you should look for confirmation on the daily/weekly chart. The final "divergence NG" you marked is actually consistent with my views of where the ED should head. So, I'm liking it. " FA: netlg: On the weekly COT report I take the large speculators long positions and subtract the large speculators short positions. Remember 3/20/2007 has to show sept 2007 as the front and sept 2008 as the back. Yes, I am taking the divergences literally. The final divergence NG, should have brought sept 2008 down quicker than whats happening, so I labelled it NO Good. Glad to hear you're looking into it.
Question: Is that long June 2007 and short June 2008 or vice versa? Sorry, I am confused by the terminology a bit still. Thanks for the CME PDF file.
Yeah, long June '07, short June '08. June '07 is starting to price in a raise in interest rates, whereas June '08 is pricing in a 50bp lowering in rates. I personally believe in the raise & inflation case more than the lower & recession case. As a result, I think June '08 is going to move down pretty big. June '07 will give me a reasonable amount of protection if I'm wrong before then.
Good Thread. Is there a website where I can see price charts of ED's and ED Spreads? Thanks, Supermoney
Sure, you can do spreads or outrights here: http://www.futuresource.com/charts/charts.jsp?s=EDM07-EDM08&o=&a=D&z=610x300&d=medium&b=bar&st=
Here's a question: are there any markets where I can trade similar to eurodollar spreads that are keyed to eurozone interest rates?
I'm not sure what that would be. You're looking for bank deposits of Euros held in non EU countries? Otherwise, the Euro Bund would seem the closest. http://www.econstats.com/fut/xeurfi_ea2.htm