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Technical analysis: Euribor Futures
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Euribor – December 2008
Thu, Oct 9 2008, 08:34 GMT
by Nicole Elliott
Comment: The rush into Schatz continues as EZ15, and EU27 for that matter, investors wake to the massive political and economic problems they face when dealing with the credit crunch. The spread over US two-year TNotes has narrowed to 140 basis points and now looks set to collapse to 80, maybe 20. Euribor futures traders seem a lot more optimistic, pushing calendar spreads to some of the most inverted ever. Three-month Libor at 5.37%, six-month at 5.45%, are pretty much where they were first thing yesterday morning and way beyond the 50 basis points either side of 3.75% that the ECB is aiming at. In fact there is pretty much zero liquidity beyond spot-next. Oh dear! With three-month Libor 335 basis points over Bubills, banks cannot afford to continue in business. Yesterday’s massive ‘spike high’, here and in a series of other money market futures, hint that yesterday’s 50 basis point cuts by many central banks may not feed through to money markets, at least not by year-end. Increasing volume and lower open interest over the last four days suggests some have been stopped out. This contract should plummet back down to 95.055 dashing many hopes of more orderly capital markets.
Strategy: Sell at 95.430, adding to 95.630; stop above 96.000. Cover shorts ahead of 95.000 and watch for signs of basing.
Published on Thu, Oct 9 2008, 08:36 GMT
Archive
- Euribor – December 2008
Published On Thu, Nov 27 2008, 10:05 GMT - Euribor – December 2008
Published On Fri, Nov 21 2008, 05:46 GMT - Euribor – December 2008
Published On Thu, Nov 13 2008, 08:56 GMT - Euribor – December 2008
Published On Thu, Oct 30 2008, 09:02 GMT - Euribor – December 2008
Published On Thu, Oct 23 2008, 07:59 GMT
Mizuho Corporate Bank
| 1-3-3, Marunouchi, Chiyoda-ku, Tokyo 100-8210
http://www.mizuho-cb.co.uk | Nicole.Elliot@mhcb.co.uk
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