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non-synthetic futures and option strategies

dj market talk: eurodollar futures bounce sharply from lows

27 april 2011

1657 gmt [dow jones] eurodollar futures shed losses after sharp knee-jerk selloff in aftermath of fomc announcement. upon further assessement, panel doesn't think committee offered any surprises. dec 2012 eurodollar contract recently flat at 98.445, having been down 10 bp just after release of the fed statement. nearest 1-yr calendar spread is tighter, with june 2012 contract pricing in a rate 59 bp above rate priced into june 2011 contract. same spread at 62 bp just before the fed issued its statement.

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