A Snoozer in the Eurodollar Market

by: John Jansen

A real snoozer again in the Eurodollar market. People must be taking the early part of this week off due to the lack of data and the holiday Wednesday (the floor is closed). You’re seeing some spreads in the futures curve correct finally. Red pack - Green pack spread is flattening for the first time in days. The March 2011 - March 2012 spread I mentioned a few days back is starting to come back down in price. This is primarily due to someone buying the March 2010 - March 2011 - March 2012 butterfly. They’ve bought about 3,500 so far. If the March 2011-2012 spread gets to around 115 I think it’s a buy, still seems rich here (122.5). The first 8 futures contracts themselves are feeling top heavy here, they are incapable of breaking but they can’t seem to go much higher either. It should be interesting to see how/if the curve moves over the next week or so.

Only trades to note in the option space, hot money bought 7000 midcurve December 9825-9850 put 1×2’s (futures are 9860). Vol is basically unchanged from Monday’s close. The December 2010 9862.5 straddle is 92/93.