ED Spread : So Close Now ...

• Cable trading now 1 big figure below its SHS top NL (confirmed break?)
  
• ED_M0/Z0 spread has traded down to +75 now. Its equivalent SHS top NL is at +73.5
• ED Spread parameters : Head +89.5; distance Head to NL 19 tics; assuming NL break at +73.5, downside objective = +54.5
• This is well worth a wild west style punt. Volatility is a lot more palatable than cable.
• FOMC yesterday "... continues to anticipate that economic conditions are likely to warrant exceptionally low levels of the federal funds rate for an extended period."
• 3 mth Libor = 0.28%; Implied EDH0 yield = 0.60% ie Spot vs 6/9 FRA yield differential = 0.32%
• ED_M0/Z0 spread = 0.75% ie positive carry on short position.