Technical analysis: EuroDollar Futures
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Eurodollar Future – Dec 2008
Fri, Nov 21 2008, 09:38 GMT
by Nicole Elliott
Comment: The message is sinking in and investors are moving out along the Treasury yield curve, benchmark thirty-year yields collapsing by 82 basis points in just 4 days and ten-year TNotes yielding just 175 basis points more than JGB’s, the narrowest since 1993. Three-month TBills yield 2 basis points and one wonders whether they could go to negative as they did in Switzerland years ago. Three-month Libor is 2.13% today and many now seem to be happy with a variety of currencies and maturities yielding around the 2.00% mark. This is reflected in Eurodollar futures contracts, priced around 98.00 until March 2010. This front Dec08 has massive option volatility because Libor could be anywhere as year-end pressures mount. The price could be 98.000 or even 96.000 (this year’s trading band), even if the Fed cuts rates again as implied by the Fed Funds future, but just might be a lot lower. A potential ‘double top’ around 98.150 suggests another drop to 97.700/97.600 area, maybe more over the next three weeks.
Strategy: Sell 97.970; stop above 98.265. Add to shorts on a weekly close below 97.650 for 97.200/97.000.
Published on Fri, Nov 21 2008, 09:40 GMT
Archive
- Eurodollar Future – September 2009
Published On Fri, Jul 3 2009, 08:32 GMT - Eurodollar Future – September 2009
Published On Fri, Jun 26 2009, 08:22 GMT - Eurodollar Future – September 2009
Published On Fri, Jun 19 2009, 07:59 GMT - Eurodollar Future – September 2009
Published On Fri, Jun 12 2009, 08:14 GMT - Eurodollar Future – September 2009
Published On Fri, Jun 5 2009, 08:30 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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