Across the Curve

Euro Dollar Futures

I am trying to incorporate a new feature today and will see if I can provide a little color on the sector. If anyone wishes to send commentary to my email which is on the blog I would be grateful for the color.

Today there has been quite a bit of activity in out spreads. Hedge funds have been active purchasers of spreads which will benefit if short rates increase.

Here is an email I received earlier from someone actively involved in that sector:

“Eurodollar market is having a slow and steady pull
back. Not much has changed. Vol is flat to where it was at the end of
day yesterday. You’d expect it to be bid based on the vol path/skew but
it is not. The December 2010 straddle is 106/107 ticks, roughly where
it was on the close yesterday.  Hedge funds
contine to buy downside by purchasing the midcurve december (expires in
December 2009 into December 2010 futures) 9775-9800 put spread (futures
are 9834).  Today we saw a buyer of roughly 40,000 in the morning then
a different group came in and SOLD 15,000.  Good two way paper flow on
that one. Hedge Funds also bought 10,000 September 2010  9825 – 9875
put spreads (futures are 9875). Not much trading otherwise.”