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Technical analysis: EuroDollar Futures
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Eurodollar Future – Dec 2008
Fri, Oct 3 2008, 08:20 GMT
by Nicole Elliott
Comment: Two-year Treasury Notes are the new ‘safe haven’ as money market turmoil distorts shorter dated TBills. Therefore the yield curve has steeped significantly this week although the scramble into the long-bond (which yields a hefty 4.15%) continues. Front month Eurodollar futures are almost as inverted against any other contract month as the record of 1989, and Euribor futures spreads over Eurodollar ones continue to narrow. Three-month Libor is indicated at 4.35% this morning, three-month TBills 0.60%, making the Ted Spread an eye-watering 375 basis points. Even though overnight dollars can be picked up at a meagre 0.50% (by the right names), this has not eased year-end pressures. The ECB has room to cut rates, and Euribor futures can rally, but were the Fed to do so Libor through the end of this year is another story. Therefore we see this Dec08 contract capped at 97.000, moving back down to 96.300. Should this contract break below 96.200 true panic should set in and the first target would be 96.080/96.000. After that, 95.500.
Strategy: Attempt small shorts at 96.700, adding to 96.900; stop above 97.200. Add to shorts on a daily close below 96.250 for levels as above.
Published on Fri, Oct 3 2008, 08:23 GMT
Archive
- Eurodollar Future – March 2010
Published On Fri, Nov 6 2009, 09:08 GMT - Eurodollar Future – March 2010
Published On Fri, Oct 30 2009, 08:54 GMT - Eurodollar Future – March 2010
Published On Fri, Oct 23 2009, 08:24 GMT - Eurodollar Future – March 2010
Published On Fri, Oct 16 2009, 08:12 GMT - Eurodollar Future – March 2010
Published On Fri, Oct 9 2009, 08:08 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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