Wednesday, October 17, 2018
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non-synthetic futures and option strategies

eurodollar futures hit session lows after minutes

(14:19 et) eurodollar futures soften to the day's lows as the fomc minutes show the committee discussing tightening strategies at late april's meeting. no timetable for a policy shift was noted, although the fed concludes qe2 purchases at the end of june. december 2012 eurodollars were recently down 8 basis points to the session low of 98.63 while december 2013 was off 10. the nearest 1-year calendar spread a little wider, meaning the market sees short-term rates rising at faster pace. june 2012 contract recently priced in a rate 51bp higher than june 2011's, up from 48 tuesday.

rate futures report: europe debt strengthens low rate view

chicago (15:54 et)--investors seeking safe places to park their money raised their bids monday for u.s. interest rate futures contracts, a move that amounted to a reduction in short- and long-term yields.

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%.

eurodollar futures up amid greek debt worries

(9:34 et) eurodollar futures are mostly higher, but off early morning pre-opening highs, as the market grapples with unknowns about a further bailout for debt-saddled greece and as the new york fed's manufacturing index showed a sharply slower pace of growth. december 2012 eurodollars were recently 3.5 basis points higher at 98.68, having been up 5.5 earlier. the nearest 1-year calendar spread tightens, meaning the market sees short-term rates rising at a slower clip. the june 2012 contract recently priced in a rate 48.7bp above that for june 2011, down from 51 friday.

eurodollar futures see short-term rates stay low

(09:26 et) eurodollar futures prices up near the morning highs as tame cpi report suggests fed won't boost short-term rates anytime soon. quarterly 2012 contracts recently up as much as 2 bp, while 2013 contracts are up as much as 3 bp. nearby june 2011 eurodollars see cash libor staying low before june 13 contract expiration. recently flat at 99.735, seeing 3-month dollar libor at 0.265%. that's down from 0.285% projected rate at last friday's settlement. cash libor has fallen for 28 of past 32 daily fixings, slipping friday to 0.2605%.

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