Eurodollar Future – June 2010

Nicole Elliott from Mizuho Corporate Bank at 02/05/10

Comment: As front month Eurodollar contracts continue to inch up towards 100.00, and red months to new record highs, the zero interest rate policy has done nothing to resuscitate the corpse that is the money market – today and for over a year. Libor rates are indicative only and money is not circulating. 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. Interestingly though open interest has picked up since early January, though still just 60% of the peak in June 2007, suggesting more are hedging positions just in case.

Strategy: Attempt small longs at 99.600/99.565; stop below 99.490. Target: 99.680/99.725.