non-synthetic futures and option strategies

market talk: options play sees eurodollar futures price jump

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25 april 2011 , 11:00

large options trade sees strong rally for longer-dated eurodollar futures prices if bernanke signals fed will stay on hold for a long time. brokers report a trading firm bought 20k mid-curve calls, seeing underlying dec 2012 contracts reach 99.25, equal to 0.75% implied libor, before the options expire on dec. 16 of this year. dec '12 recently trading up 4 bp at 98.375, with an implied libor of 1.625%.