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non-synthetic futures and option strategies

eurodollar futures see credit stress, safety bid

front-end eurodollar futures prices down, showing signs of interbank lending stress as s&p issues negative outlook for u.s. debt and as market is increasingly worried that greece will default on its debt. credit strains evident as nearby jun 2011 projects higher 3-month dollar libor. jun recently down 2 bp at 99.69, seeing libor reach 0.31% before june 13 contract expiration. that's up from 0.29% projected rate at fri's settlement. longer-dated 2012

eurodollar contracts recently up as much as 6 bp in flight to safety bid. they had been up as much as 8 bp at the session high achieved just before stocks opened lower.

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