Derivatives

oatman

Senior member
2,879 22
Euribor

Hello Halo,

I've just put the Euribor up. It don't move a lot!
Seriously, I wanted to see if there are any other opportunities as I get all Liffe contracts. June Euribor volume 83000 at the moment. I presume you try and nick a bit on the bid/offer.
I was looking about 45mins ago there was 5000 bid, 500 on the offer 97.620/97.625 but it still ain't moved although there's more on the offer now. It has traded at 15 and 25 since.
 

oatman

Senior member
2,879 22
I used to trade Cocoa and Coffee but Liffe screwed them up when they went computer. A lot of the liquidity was from jobbers/scalpers in the pits. Wheat rarely traded. The softs are OK but they tend to move and then do the volume. Could be nasty on a stop. There are big players with too much muscle. Maybe alright on a longer time frame but you also need to follow fundamentals.
 

TBS

Well-known member
385 0
Yep, they are no good for day trading - well, perhaps Cocoa - For some strange reason I've never traded sugar - dunno why.

Used to trade Italian bonds for a giggle - gave it up though - started at 0700 - very anti-social!
 

Halo

Active member
136 0
For the benefit of others (I think TBS and Oatman seem to know the score;)
Euribor is a contract based on 3 months interest rate futures. As you have pointed out - the front month doesn't move a great deal ('cos there's not too much chance of anything interesting happenign to Euro rates in the near term).. If you want to have a punt outright try the 'red' months (next years expiries) they move more.

Generally the guys trading Euribor have to employ other methods to consistently make a buck...

A lot of the Trading Arcades full of ex-LIFFE Locals trade Euribor and the £ equivalent Short Sterling. It's main use is for hedging of interest rate risk for commerce/financial institutions but its not a bad tool to play with if you know the rules, it's liquid and it goes up and down.

Short Term Interest Rate contracts like Euribor have multiple expiries - as well as the Jun03 Future (front-month) it also trades out about 4-6 years in quarterly expiries. The Euribor is liquid in about the front 8 expiries.. Jun, Sep, Dec 03, Mar, Jun, Sep, Dec 04 etc etc..

The main strategies we're talking here are calendar spreads - the difference between Jun and Sep for example is the 'jun/sep spread' As all the expiries on Euribor represent different points along the yield curve they are correlated and as such the differencials between the expiries are in a state of flux. Spread traders will look along this curve (usually in Matrix form if you use J-TRader) and look for arbitrage opportunities in the spreads. It's possible to trade the spread as a single product and also in its component expiries - you can buy jun/sep with one click (long jun.short sep) and you can also try to enter or exit a position by trading the separate jun and sep contracts ('legging the spread').

There are a few other ways of making money - arb'ing Euribor vs. 2 Year Euro Bonds (schatz) for example .. i can imagine this all sounds very alien and complex for the more Index focussed amongst you - to make much money out of this you really need to play quite big or trade constantly. I find it too slow and eyesight intensive personally so stick to the Eurex Bund which moves for the same reasons (int. rates) but is a bit more volatile......
 

fillyerboots

Member
94 0
A lot of the Euribor volume is intermonth spreads, most of the ex floor people trade like this. Front month isn't usually the most volatile either because it has less time value.

Any way it is very liquid and volumes are massive since connect took over :cool:
 
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