Technical analysis: Euribor Futures
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Euribor – December 2008
Thu, Sep 25 2008, 08:07 GMT
by Nicole Elliott
Comment: Anyone who sees Europe as a shelter from the global credit crunch must be in denial. We feel the spread of Schatz yields over two-year US TNotes should narrow to 80 basis points, maybe to flat. Almost record volume (and record open interest) in this futures contract last week shows that many have belatedly woken up to another potential year-end mega-crunch; bearish momentum is stronger than it has been since May 2000. Calendar spreads are close to their most inverted ever and the Dec08-Dec09 one should drop to at least –100. Three-month Libor yield over Bubills should widen even further, from 100 to about 160 basis points, from 60 last month. Three and six month Libor are 4.85% and 5.17% respectively with no prospect of easing in the near future. This Euribor futures contract, which for a front month one is trading at the lowest price since September 1995, should re-test 94.500 and possibly drop even further if the authorities stand by and watch.
Strategy: Possibly attempt shorts on a bounce to 94.760 adding to 94.860; stop above 94.980. Cover shorts between 94.640 and 94.500 but re-sell for a sudden slide below 94.475 to 94.275.
Published on Thu, Sep 25 2008, 08:08 GMT
Archive
- Euribor – December 2009
Published On Thu, Jul 2 2009, 08:27 GMT - Euribor – December 2009
Published On Thu, Jun 25 2009, 08:41 GMT - Euribor – December 2009
Published On Thu, Jun 18 2009, 07:49 GMT - Euribor – December 2009
Published On Thu, Jun 11 2009, 08:14 GMT - Euribor – December 2009
Published On Thu, Jun 4 2009, 08:56 GMT
Mizuho Corporate Bank
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