Dec 06 Eurodollars

[qazwsxedc]

... look a little (1.5bp or so) cheap compared to the Sep 06 and Mar 07 contracts. I know that linear interpolation isn't exactly appropriate here, but is there a fundamental reason why Dec sticks out? Anything to do with tax year, timing of FOMC meetings, something else?

 

[-oo0(GoldTrader)]

Buy Sheep and sell Dear

Hybrid Thread

Sure Taxes affect Euro$. They impact interest rates in April when taxes are due.

... look a little (1.5bp or so) cheap

What do you mean look a little cheap?

Do you buy stuff because it looks a little cheap. Why didn’t you assume that Sept looks a little high and short it?

What is this bias toward sheep?

compared to the Sep 06 and Mar 07 contracts. I know that linear interpolation isn't exactly appropriate here, but is there a fundamental reason why Dec sticks out? Anything to do with tax year, timing of FOMC meetings, something else?

 

[qazwsxedc]

Sure Taxes affect Euro$. They impact interest rates in April when taxes are due. What do you mean look a little cheap? Do you buy stuff because it looks a little cheap.

I mean that the incline on this part of the forward curve looks disjointed. A change of 1.5bp in Dec06 won't do much to today's spot curve, but that doesn't change the fact that the Sep06-Dec06 and Dec06-Mar07 differentials don't look right in relation to each other. Hint: I won't just go and buy me some cheap/sheep EDZ6. Spreads, on the other hand...

Thanks for the PM, but I won't reciprocate with a .JPG appropriate to being "caught naked between spread legs" because this is a family show. :cheesy:

Now back to our regular scheduled program. Anyone else with ideas about the reason why EDZ6 stands out compared to its neighbours?