09 February 2011

ED Calendar Spread : New Long M1/Z1 @ +38.5

  • Follow up on yesterday's post on short rates and how the ED futures chart looks different from a few other currencies.
  • Initiated a small +EDM1/-EDZ1 spread today on basis of weekly chart breaking +36.5, a previous high = trend change. The equivalent calendar spreads for the other 3 currencies are included here for easy comparison (AUD is flatter than EUR and GBP because RBA has tightened ahead of the rest).
  • Will do more if we pull back lower.
  • Ruing lack of focus in this. There was a time when this was at +11 where buying would have been almost like a free option.


Taichiseal said...

Increased risk from tiny to a real position now at +39.

Taichiseal said...

Think its better to express a bearish view of US rates in the short end rather than the longer end now given how much the curve has steepened now.