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Eurodollar Future – June 2010

Nicole Elliott from Mizuho Corporate Bank at 02/12/10


Comment: The US yield curve is still incredibly steep, two’s against thirty-year Treasuries a record 379 basis points. For a market going decidedly nowhere it is most interesting to see Eurodollar open interest building steadily this year, suggesting more are hedging positions just in case. The crisis is still not over and what nasties might lie round the corner are anyone’s guess. Best to prepare for the worst appears to be the money market’s response.

Strategy: Attempt small longs at 99.575/99.555; stop below 99.490. Target: 99.680/99.725.

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