Eurodollar Future – June 2010

Nicole Elliott from Mizuho Corporate Bank at 01/29/10

Comment: Nothing to add since last week’s report and nothing happening in the cash market. Calendar spreads have narrowed again marginally and should continue to move towards flat - and the spread over Euribor futures should narrow too. Front month Eurodollar contracts should continue to push towards 100.00 in a series of painfully slow cautious rallies, punctured by periods of sideways consolidation with small dips. Traders should look to Euroyen futures price action between 2001 and 2005 to see what might lie in store for them here. Increasingly difficult to make any money out of these sort of price moves.

Strategy: Attempt small longs at 99.580/99.555; stop below 99.490. Target: 99.680/99.725.