Day Trading & Forex Forum

arabianights

I know, let's sell 40k red packs at market... nothing bad can come of this.

Anyone else notice that?

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Only morons take my advice!

Chatroom for STIR traders - open during UK market hours (7am-6pm). Anyone welcome, especially locals, IB/HF traders, brokers (particularly if you have lots of flow ), those with an interest in this field...

red army

i heard it was nearer 4k.....thats the kind of price action that would kill us locals!!

MrGecko

yeah, 4000 is much nearer the mark... TBH you gotta half expect things like that to happen in those kind of conditions

ahardy66

As I read this thread, I thought, I'm intending on trading eurodollar futures and really I don't know what they're talking about. I checked out what red packs are and suddenly eurodollar futures are much more involved than I realised.

I'm putting together a trading program to arbitrage repeating patterns in multiple futures markets, and I chose a collection of markets to trade, based on liquidity. I've got currencies, metals, indices, commodities in there, and also US 30 yr T-Bonds and eurodollars.

But the eurodollar futures have resisted all my attempts at squeezing an edge out of them. I have several algorithms that look fine across 23 markets, except eurodollars. On the other hand, anything that looks good for eurodollars always fails miserably in at least 2 or 3 other markets.

The price action of eurodollar futures just looks different, even fundamentally different. Am I wrong that it's a market for plain old long or short speculating? Looks that way with all this business about packs and strips and spreading and the yield curve.

Am I going to get slaughtered by slippage or something? What about TBills or TNotes?

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Adam

MrGecko

Adam...

My advice is... forget about it.

Let's leave what eurodollar futures are for, and the particicpants that trade them, to the side for a second. The biggest issue you have will be one of liquidity. In the past week, we have gone from seeing 2- 3 000 being bid and offered to a matter of hundreds, and often less. Until things have settled down, and liquidity returns to the market, my advice is to leave it on the sidelines and trade other contracts.

As for long and short speculating... well, yes, you can trade the outrights directionally, but that is only one way of trading them. STIRS are amongst the most versatile instruments out there, traded mostly by professionals for various purposes . One would certainly expect them to have a different dynamic to other contracts. If you want to get into STIRS, then the Aiken book is a good place to start.

hrokling

I've had resting orders in GE-flys that got filled at fantastic prices - excellent opportunities when marketmaking combos last week.

ahardy66

MrGecko, is that what happens to the volume every time the chart goes into one of these periods of huge daily ranges?

hrokling - nice for you. Pardon my ignorance but what's GE-flys?

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Adam

MrGecko

Adam

GE (the ticker for Globex traded Eurodollar contracts) futures are settled against LIBOR; LIBOR is a function of interbank liquidity and credit - clearly this weeks developments are going to move the GE forward curve.

Secondly, volume and liquidity are subtly different; while volume is just the sum of contracts traded in any given period, liquidity is more to do with the availability of market participants to deal with... so while this week we have seen increased volumes, the number of participants making a market in GE contracts has fallen away dramatically.

This, IMO, is exaccerbating the moves. Selling 4000 lots a few weeks ago was no big deal; this week, 4000 lots might have taken out 5 or 6, maybe more, levels of the orderbook in one go.

Fly's (aka Butterfly's) are the difference between two calendar spreads; GE(1) - 2GE(2) + GE(3) where 1, 2 and 3 are expiration months equdistant apart. One of the many combinations that STIRS can be traded.