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non-synthetic futures and option strategies

dj market talk: downside protection sought in eurodollar options

11:23- even as eurodollar futures prices rise, brokers report huge volume of put butterfly spreads in case the market goes the other way, perhaps in the form of a year-end fed-funds rate hike. brokers say several firms performed a total of 60k to 100k spreads -- buying dec puts at 99.00 and 99.50 and selling them at 99.25. trade's objective is that dec '11 eurodollar futures falls to 99.25, with implied 3-month dollar libor reaching 0.75% before dec. 19 contract expiration. dec recently trading at 99.555, up 2.5 bp, with implied libor at 0.445%.

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