New !! CME Fed Funds-Eurodollars Exchange Spread

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

  1. truetype

    truetype

    A good broad-brush overview of interest rates would be 1- 2 pages. Not that you're obliged to write it!
     
    #41     Dec 22, 2017
  2. bone

    bone

    Not Marty. It would be an opus.

    I took a class (sponsored by LIFFE) that lasted for one week just on LIBOR in the 90’s. And it wasn’t strategy specific. In the late 90’s I took the DTB Eurex test and the study guide was a pretty thick binder. As I recall, about half the people that took that test didn’t pass it first time around.
     
    Last edited: Dec 22, 2017
    #42     Dec 22, 2017
  3. AlexxS

    AlexxS

    I just made my way through this tome (The Eurodollar Futures and Options Handbook by Galen Burghardt). It is a bit dated but I was told that it is a must read for anyone wanting to trade STIRs. Learned a lot. I just mention this in case anyone wants to know more about the Eurodollar.
     
    #43     Dec 22, 2017
  4. truetype

    truetype

    Galen's a good egg. He might appreciate hearing you liked the book - try him at galen.burghardt at bridgealternatives dot com.
     
    #44     Dec 22, 2017
    AlexxS likes this.
  5. Yes, Burghardt's stuff is always good, since they really cover the basics amazingly well...

    The problem with LIBOR is that there is a lot of regulatory crap that has gone into effect post-crisis. People spend a lot of time looking at all the gory details and it's not pretty. Of course, the ultimate irony is that it looks like LIBOR will not matter for too long now.
     
    #45     Dec 22, 2017
    AlexxS likes this.
  6. AlexxS

    AlexxS

    Might actually do that, thanks for the email.

    @Martinghoul Do you have an opinion on SOFR based futures and options? Do you think they will replace Eurodollars, maybe after a transition period where SOFR is published side by side with LIBOR? As far as I am aware there is no end date to LIBOR, but it will probably phase out slowly.

    "Panel bank support for current LIBOR until end-2021 will enable a transition that can be planned and can be executed smoothly. The planning and the transition must now begin."

    Source: https://www.fca.org.uk/news/speeches/the-future-of-libor



     
    #46     Dec 22, 2017
  7. Maverick74

    Maverick74

    I would highly recommend Burghardt's book on the longer end of the curve as well called "The Treasury Bond Basis". As well as "The Bond Market" by Christina Ray.
     
    #47     Dec 22, 2017
    AlexxS likes this.
  8. Something is coming, I am reasonably sure... All the regulators are very keen on getting rid of LIBOR, especially the FCA here in the U.K. It's not clear to me how all this will happen and there are tons of uncertainties. Still both Eurodollar and Fedfund futures are likely to go away or change, as well as many other derivatives.
     
    #48     Dec 22, 2017
    i960 and AlexxS like this.
  9. bone

    bone

    Marty, invent a contemporary cash settled proxy futures contract then file a patent. Sell patent to a regulated futures exchange. Use proceeds to live like Hunter S. Thompson.
     
    #49     Dec 23, 2017
  10. Ha, I can invent whatever random thing any day... Issue is that it needs to reflect some commonly used, healthy money market rate. At the moment, there just ain't one.
     
    #50     Dec 23, 2017