Eurodollar Future – March 2010

Nicole Elliott from Mizuho Corporate Bank at 12/11/09

 

Comment: The spread between thirty-year and five-year US Treasury yields at 227 basis points is wider than anything since 1980, an extraordinary opportunity to bank risk-free profits. December Fed Funds futures priced at 0.1275% and Dec09 Eurodollar futures at 0.2575%, yet no depth to the USD money market means few can afford to put on this trade. New York appears to have ring-fenced their side of the equation but other nations need not apply. This front March contract has seen an A, B, C-type correction, where C equals A, in a ‘triangle’ formation. This correction should set off the next small step higher towards 99.750.

Strategy: Attempt small longs at 99.600; stop below 99.500. Upside target 99.680/99.725.