How do you trade Eurodollar Packs & Bundles?
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And how to go about entering the market as a local trading remotely? The anticipation of this will create more volatility and trading volumes have already picked up. They largely use algorithms to provide liquidity to qualify for rebates but in doing so create a lot of noise. Great website and forum. I was referred to you by a well-regarded STIR trader on another forum.
Obviously SPAN keeps margin requirements low, but you want to keep a safety buffer. How many lots eurodollar packs and bundles trading options you generally put on for any one trade? I realize that every trade is different. Just trying to understand better.
One approach is to quantity the riskiness of the spread using a VaR value at risk based approach. This means that on any given trading day I might expect eurodollar packs and bundles trading options lose between 0 and 2.
I might then want to make a decision on how much capital I might want to risk losing on one trade. I would err on the lower side of capital at risk since most spread traders will have several similar spreads on at once which can be highly correlated meaning they have actually got more capital at risk on what is effectively the same trade.
I would also eurodollar packs and bundles trading options to take liquidity into account. I have a question on Swapnotes. Would that be accurate? If so, it seems strange that they call it a swap. There is essentially no credit spread but the spread between the two would be driven by eurodollar packs and bundles trading options and incidence of cashflows.
Thanks for your helpful reply. If I could ask another question: There is an element of event risk in and and the stack seems to outperform swapnote — this could due to several factors such as liquidity, data issues or the charting methodology simplistic overlay Euribor TED. I have been trading US treasuries against Eurodollar strips intraday and wondering if there is the same trade overseas.
I heard or spreading Schatz vs Euribor but was looking for the trade against the bobl. The Euribor 2Y bundle against the Schatz is a popular trade but there is limited liquidity in 5Y bundles to trade against the bobl.
Can sb please tell me which soft is it??? Also please take in consideration that i am an retail trader, and do not have the possibility to pay for bloonberg or similar things k a month…. The software from the photo you uploaded is Reuters eother xtra or Eikon. You could try Metastock with Equis as a datafeed as a charting eurodollar packs and bundles trading options. I understand that you cannot give implicit advice that might be interpreted as trade recommendations etc, but I would greatly appreciate some guidance on getting the correct ratios.
How do I then related this to the Euribor? I have seen some suggest trading the 4th or 5th Euribor contract against the Schatz, but elsewhere been told to eurodollar packs and bundles trading options at the last red or first green? Eurodollar packs and bundles trading options your book you talk of trading a pack or bundle to correctly balance the spread, although one could fudge it with a couple of different Euribor contracts against the 2 year note.
Any advice would be greatly appreciated. Are you asking something further or something not fully understood? Chart ratios are on p. CGQ has a different and simpler methodology for displaying charts and I think there is a thread on it in this forum somewhere.
I have recently taken up stir trading but I am still struggling to gauge where the market might move and I am wondering what key items to look for. With euribor for example I will look at the bund on a technical analysis aspect to see where that might go as it has a correlated effect on the euribor spreads.
When trading euribor i will look for prices trading through a price ticker to see where big buying or selling is to try and gauge a move in the spreads but i still find it hard to gain a decent bias or feeling of where the spreads might trade next. Is there anything i am fundamentally missing? What you are asking is effectively the holy grail of directional trading — what can eurodollar packs and bundles trading options as a leading indicator for the product I am trading?
There are no easy or formulaic answers to this — if there were, everyone would be a successful trader. Some traders use technical indicators, others try to analyse flow. However, the whole issue of leading indicators can be circular. I remember once asking a bund trader what they followed for direction. He replied t-note futures.
I later asked a t-note trader what they followed. They replied bund futures! I am interested if any of you has looked at treading US treasuries vs Eurodollars spreads intraday. I am specifically interested not in the short-term, classical TED that involves the front end of the curve, but more towards the blues and golds. Anyone has any experience in this? Any knowledge or recommendations?
What can eurodollar packs and bundles trading options the correlation between the blues and ZF? What should I watch for? The 5 year bundles would include whites, reds, greens, blues and golds. You could buy 5 year t-note futures, sell 2 year t-note futures in equal notionals and sell a STIR strip comprising the greens, blues and golds.
This would be a more complex trade from the perspective of drivers. Are we destined for flat curves and tight trading ranges within the stirs for years to come? I think flat curves are here for a while. The Fed is probably on hold until early and its difficult to see why Europe or the UK might be much different. Also remember that Eurodollars have been historically more volatile than Euribor and so the daily trading ranges might be better. Enjoyed the book and the examples on implied pricing.
Not sure whether these are the only examples for Eurodollar futures or just the simplest? If so is this a visible implied price or an invisible second generation price? CME supports implied in pricing into butterflies and condors but this is from the futures strip and not directly from other spreads.
Just finish your book. Thanks for writing it. Though I had finished reading your book, I am still quite clueless on how to make my first trade. My queries as follows: What should I do to look for a possible trade? I understand that Calendar Spreads is the bread and butter for eurodollar packs and bundles trading options traders and can be traded using the yield curve. So which yield curve should I use and where can I find them and how do I use them?
The best way to start is by observing price action i. One month ED calendar spreads can be trading in the same way as three month calendar spreads except that you would be gaining just one months curve exposure rather than three.
I would like to know if there is a upper and lower bound for what a Stir future can be priced at. Prices eurodollar packs and bundles trading options obviously depend on supply and demand, however they are linked to the underlying interest rate.
Theoretically the bounds should be observable. Suppose there is only one interest rate meeting scheduled before the contract delivery date. Banks might hike 25 bps or cut 25bps perhaps in an extraordinary emergency situation.
Suppose rates are at 1. In the example there is a 50 lot bettering the spread on the offer side of the spread 23 see attached image. If a trader lifts 50 lots at 23 what gets executed and who has priority, assume I am talking Sterlings on Liffe?
I am still unclear of what happens in this case and how it would execute if someone hit the 50 lot 17? Is this a second generation spread? Looking forward to hearing from you, thanks. A H6M6 offer of 23 implied in a 50 lots of H6 at 79 and bid of 55 in M6. A trade at either of these price prices will trigger the spread trade. I dont get it. Still not clear on this.
Thanks for helping out. I realize it is covered in the book, I just did not fully understand which is why I bring it up in the forum. There might be others that are confused on this as well. The forum post will clear it up. If another trader were to purchase the 50 H6M6 at 23, the exchange algorithm would generate prints in the H6 and M6 outrights for outright trades at either 79 and 56 eurodollar packs and bundles trading options 78 and The trades in the H6 and M6 would be done with the actual bids and offers and not the implied in prices.
I wanted to ask eurodollar packs and bundles trading options opinion on programming an automated trading system to trade the range on the STIR spreads. Are you mainly looking to trade a range with the STIR spreads and look for a reversion back to a mean price?
Unfortunately, figuring out how the market is likely to behave is the tricky part. Mean reversion can involve selling rising markets and buying falling markets.