Eurodollar Spreads

Discussion in 'Financial Futures' started by J-Law, Jan 27, 2007.

  1. mcurto

    mcurto

    Speaking about the FIT spread (5yr vs. 10yr ) someone rolled a monster one from March into June yesterday buying -3.5 in the 5yr calendar 100,000 times in one order and then literally within 1 minute turning and selling the 10yr calendar 60,000 times at Even. Both gave up edge lifting the offer and then hitting the bid. Weightings work out to exact FIT spread weighting of around 1.66 5yr notes to 1 10yr note. This is a pretty big flattener position.
     
    #11     Feb 24, 2007
  2. rosy2

    rosy2

    i am curious, why would someone doing that kind of size use futures instead of ir swaps? also does anyone know if tradeweb.com products are offered to retail?
     
    #12     Feb 24, 2007
  3. AC3

    AC3

    I been doing Euros for a few weeks with TS ... no problems as of yet but is there any reason why you dropped them ???
     
    #13     Feb 24, 2007
  4. There's far greater liquidity on the futures as opposed to the swaps (at least exchange traded swaps).

    That aside, the swap and futures do float quite a bit. Take a look at the 10 yr note vs 10 yr swap spread.
     
    #14     Feb 24, 2007
  5. #15     Feb 24, 2007
  6. Ouch, this guy is feeling some pain today.

    $11.2M one day loss?
     
    #16     Feb 26, 2007
  7. mcurto

    mcurto

    Ya, I guess if you are marking the position where both spreads settled today that does make sense he is down about 11.2 million. But I think it probably depends more on where he entered into the position in March futures several months ago. My guess is at better levels than the current ones.
     
    #17     Feb 26, 2007
  8. Ignore my previous post. "Technology issues" had me believing this spread steepened 50bp today instead of the mild flattening which actually occurred.
     
    #18     Feb 26, 2007
  9. H2O

    H2O

    Lol, putting up this chart now doesn't make a lot of sense anymore.. currently trading at 9.5 (mid value) :D
     
    #19     Mar 2, 2007
  10. I apologize for all 3 charts I posted, didn't set the dates properly. I will remove them and post again when I see something else.

    cheers.
     
    #20     Mar 2, 2007