Eurodollar strangeness

Discussion in 'Index Futures' started by blueberrycake, Jan 7, 2003.

  1. I've been poking around charts of the Eurodollar, and I notice something very strange. Many of the further trading months, have high volume and open interest than the near months. For example the March contract has several time the volume/open interest of the January and February contracts, while the June contract is twice the open interest of March.

    To make things even worse, the price charts periodically deviate for different months.

    How should a long term trend trader decide when to roll, and if so to which month? Should I always pick the highest open interest contract and roll to it, even if its twelve months out?

  2. wild


  3. this is the nature of money market products since the interest
    paid on the underlying is nearly the same as it's "concurrent",
    the current interbank lending rate.

    i respect your style, despite, imo, eurodollars are absolutely unuseful for private players. they are used by banks to hedge
    interest rate fluctuations vs. their obligation to pay fixed interests
    on debt.

    the trading range of ED is probably too small to keep up with
    your commish for intraday trading.

    as it is a pit traded contract (Globex GE has < 1% of liq.)
    you are exposed to hazards of professional traders.