I don't trade much interest rate futures, but now I want to take a position in the 3m T-bills vs US 3-month LIBOR. Could anyone let me know how to size it and which contracts to use? I don't suppose there's an exchange-traded combo on CME, but have to be legged into?
you might find it easier to trade a term spread out to 2 years - the 13wk futures dont see much activity usually. there are a few ways to trade the TED, but basically you gotta trade the differences in yields between a 2 yr and an equivalent synthestic bond made up from 8 sequential STIRS if you use Eurodollars, you should decide whether you want to use an unweighted or weighted GE Strip... in these conditions, I'd suggest a weighted strip as you get the credit spread and don;t have to worry about any changes in the yield curve... also, how do you want to measure it? Implied GE yield vs Treasury yield, or fixed BP spread to a GE futures rate? It matter how you contrust the trade... although, really, if you have to ask how to do it, you shouldnt really trade it.
Hello,Good Afternoon, Could someone tell me wich contracts to use to see TED with ESignal Is Libor exactly the same as the rate implied by EuroDollar? If Not what is the Difference ? Many Thanks Charles Cygler