Tuesday, December 18, 2018
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non-synthetic futures and option strategies

eurodollar futures stable after latest data

(8:46 et)---- perhaps a case of too much information being thrown at the market at the same time -- eurodollar futures basically unchanged after release of three pieces of data, including hot ppi inflation numbers. nearby june 2011 eurodollar contract shows no sign of credit stress even as the euro zone struggles to resolve its sovereign debt problems. recently trading flat at 99.735, seeing three-month dollar libor at 0.265% before june 13 contract expiration. same contract saw libor at 0.285% only a week ago.

eurodollar turn higher on risk aversion

(16:08 et) safe-haven buying sparked big turnaround for eurodollar futures, as sinking commodity and stock market values triggered exit from risky investments. prices were lower early, with dec 2012 contract down 4.5 bp prior to start of regular trading. it settled 5.5 bp higher at 98.63. nearest 1-yr calendar spread becomes tighter, reflecting view that short-term rates will rise, but at slower pace. june 2012 contract priced in a rate 51 bp higher than rate priced into june 2011 contract. same spread at 54 bp on tuesday.

most eurodollar futures down on recent data

(09:34 et) eurodollar futures are mostly lower amid the recent batch of better economic data, including friday's solid job gains. also, fewer players are short, meaning there's less short-covering, says crt capital's david ader. december 2012 eurodollar contract was recently down 2 basis points at 98.555; the morning low was down 4.5 ahead of regular trading. the nearest 1-year calendar spread widens a bit, meaning the market sees short-term rates rising at a somewhat faster pace. june 2012 contract recently priced in a rate 55bp above june 2011, up from 54 tuesday and 48.5 monday.

rate futures extend price gains after auction

(13:17 et) us rate futures receive yet another boost as treasury's $24b 10-year auction is met with strong demand. quarterly 2012 eurodollar futures were recently up as much as 5 basis points after having been down as much as 4.5 this morning. june 10-year treasurys take out tuesday's high, climbing to 122-15. resistance is at 122-17, monday's 5-month top. june classic treasury futures hit 124-15, nearing monday's high of 124-18.

eurodollar futures down as stocks start higher

(9:38 et)----longer-dated eurodollar futures stay lower as stocks open on the plus side. meantime, front-end contracts display a lack of concern that euro-zone debt problems might disrupt interbank lending in the form of a higher 3-month dollar libor. quarterly 2012 contracts were recently down as much as 3 basis points; the morning low was 5. but nearby june eurodollars were recently flat at 99.72, seeing a 0.28% libor when the contract expires june 13. cash libor has dropped 25 of the past 29 daily fixings, slipping tuesday to 0.26400%.

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