EuroDollar Spreads : Short

• 3mth Libor = 0.25% ; EDN0 (interpolated) = 0.73% => diff = +48 bp
• EDH0 = 0.33%; EDU0 = 0.97% => diff = +64 bp
  
• EDM0 = 0.59%; EDZ0 = 1.37% => diff = +78 bp
  
• EDU0 = 0.97%; EDH1 = 1.76% => diff = +79 bp
• Generally, charts of ED Spreads mostly showing a topping out process going on.
• Am short EDM0/EDZ0 spread at a poor +75. Still, comforting that chart parameters are becoming clearer with developing price action. +85 and +89.5 are good points to set trades against. Did not add on to +75 short on first trade up to +88 late last year (as per No Averaging Losers). However, would certainly consider doing this if we get another trade up towards +85. Always better to short AFTER a top is evident than to try to short it on the way up.
  
• Note the spot differential is at +48. Positive roll-down protection if fundamentals do not change too drastically from where they are currently.
• Selling EDH0/EDU0 might be a better trade than EDM0/EDZ0 but the former chart is a bit messy.
• This is a LTCM penny picking type trade. Will get killed if expectations for sharp Fed rate hikes take hold.