New !! CME Fed Funds-Eurodollars Exchange Spread

Discussion in 'Financial Futures' started by bone, Nov 16, 2017.

  1. It can be seasonal, to some extent, although the dynamics can be complicated. It mostly mean reverts, but, again, it can be complicated. I am not sure how you would chart it on IB. You'd need support for continuous futures and I don't know if IB can do it.
    #31     Dec 21, 2017
  2. Maverick74


    #32     Dec 21, 2017
  3. Maverick74


    #33     Dec 21, 2017
  4. Well, if you put it like that, Mav, I shall happily yield the stage and let a better man explain this stuff... Please don't hesitate.
    #34     Dec 21, 2017
    jtrader33 likes this.
  5. bone

    bone ET Sponsor

    Interpretation: Interest Rates are a giant rabbit hole. In fact, the best known texts on the topic are about as thick as a 1980's NYC phone book. There is no way I could possibly expend the time and energy to type up a lucid, complete explanation of bank rates and corporate debt rates. One post could take up hundreds of pages in a thread in fact.

    So, best to just say "it's complicated".

    Speaking for myself only, I can empathize with Marty's position.

    Having said that - nothing wrong with charting consolidated, continuous futures data. This isn't a fair comparison in terms of complexity but FWIW I personally know very little about the Sugar market but it has been one of my best trades (intramarket spreads) for several years now.
    #35     Dec 21, 2017
  6. Maverick74


    Aye Marty, is there ever a time of year where you lighten up? It's can laugh a little. LOL.
    #36     Dec 21, 2017
  7. Ho-ho-ho :)
    #37     Dec 21, 2017
    Gambit likes this.
  8. Maverick74


    That's a little better.
    #38     Dec 21, 2017
    Gambit likes this.
  9. i960


    The problem with sugar vs rate spreads is that the sugar spreads referred to are intramarket and the rate spreads are inter-market with ratios that can change. This is a total hairshirt to deal with if the ratios change mid-timeframe somewhere (let alone if someone were simply just charting it and most platforms wouldn't even know how to deal with it). It's why I'd rather use the spreads of the outright yields in that case.

    With the exchange traded ICSes you can also chart them continuously but if they're net-change then back to super hairshirt again.
    #39     Dec 21, 2017
  10. bone

    bone ET Sponsor

    I used to trade inter market interest rate spreads exclusively in the 1990's and early 2000's - now 95% of the interest rate trades are intra market spreads like a Eurodollar butterfly for example. It's just easier to model and trade for me. Same holds true for most of my clients - they seem to prefer the intra market spreads. Do some Euribor as well.
    #40     Dec 21, 2017