How is there any way to obtain an edge in a market like eurodollar calendar spreads( unless you're a bank). Seems too efficient.
I found an edge. Its taken me several years but I've isolated a trend change from a correction in both the Ed spreads and also the outrights. Considering only the 4 main months, for the spread, H,M,U,Z. I do TA and trade on the 2nd and 6th month. Currently: Ed Spread has been in a correction since the high on 8/7/2009. Outright is also in a correction.
after voluntary decision to cease trading i am a private individual who trades money market yield curve trades specialising in exchange stirs who has returned to frey as normality(if such a thing exists) on libor based products to a big degree has returned and risk management and valuation decisons are possible again .Had good trades over december.
with front fly more normal at -7 m basis to delivery sub 25 now for m its worth building a short ecb will remove liquidity between h and m optionality for another libor crisis always favors a short position and with official repo at 1 percent and a recent december low for m of mid 70,s risk reward favours a short sold 11.5 might be worth a h/m long as a defensive wya of shorting m
You got to ask yourself one question... What if Greece defaults next week and there's a LIBOR crisis? Long H/M ain't gonna do too well. Alternatively, what if the ECB actually decides not to remove liquidity, since they believe the banking system is too fragile? Do you wanna be short Jun?
agreed whilst greek spreads deteriorated last week 2 yr still not back to dec wides plus i feel the political elite will not allow a default and the threat to emu project.this crisis suits the agenda of the elite .Imf bailout is the likely conclusion at a sovereign independence price, which exactly suits the emu project and its ultimate goal and neccessity political union.possibly not good for h/m i agree but for an outright short which i preferred a libor crisis is huge helpful optionality, austrian and german exposure to greece is huge and lending distrust leading to increasing libor spreads is likely basis is now very tight everywhere brave long here at these levels my view is square or short m is lead volume month fly had moved from par to -7 which makes m most attractive as the short eonia both 1month and 3 month tell you ecb will start liquidity removal particulalry in april may and june ecb have told us they will cbs have started the logical process emergenct repo maturities are huge hence short dates sub repo largest for ecb is in m what they havent told us is how much more info at h meeting according to trichet if you dont believe in ecb liquidity removal then of course short is crap and the long will obviously reward
covered 1/2 m short stop moved down run the balance front fly starting to look a sell again starting at -2.5 retraced from -7 still very directional on m as you would expect but basis will start to bite into next month would like pars but not sure it will get there
interesting volume changes on months this morning dec10 and mach11 lead volume on the down fed statement "using words extended period" extending to global stirs front fly going to -4 on a down move first time this year nothing done yest at -2.5 more confident of short sold -3,s and -3.5 to start
eibor as market has come off a tad more front fly fy has returned to par this morning added to the short from -2 odd sep/dec activity yest big volume seller early on lead volume spread by miles 26,s were doable first 4 hours front condor approaching +2 is perhaps a better sell than front fly now doesnt double the m leg position and with the eonia clearly still pricing the m repo maturity as the liquidity issue might be better to avoid double m long leg until m is sub 90 s stg covered all 2nd condor shorts to go square last taken off today at -12