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2018
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non-synthetic futures and option strategies

big eurodollar options plays see stronger rally

(13:32 et) a pair of large options trades sees longer-dated eurodollar futures rallying the next few months, meaning the market would continue to price in lower rates. brokers reported a trading firm performed about 60k call spreads. they aim for september 2013 eurodollars reach 98.375 in one of the transactions and 98.625 in the other, equal to implied 3-month dollar libor of 1.625% and 1.375% respectively, before the calls expire this july and september. september 2013 eurodollars were recently trading 7 basis points higher at 97.885, or an implied 3-month dollar libor of 2.115%.

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