• Apologies for the delay in replying. When I referred to the “rate implied by ED12”, I just meant
    rate = 100 – ED12
    But the “ED12” I used was a constant maturity generic 12th quarterly ED contract. Constant maturity contracts ensure that you are comparing apples to apples in terms of the maturity that each ED contract is expressing. For…[Read more]

  • Nick replied to the topic Interpreting STIR prices in the forum Main Forum 2 weeks, 5 days ago

    Hi Joseph,

    I assume this is the best thread for this question – although different from the previous…

    Re-reading the first CME paper you wrote, in the section Example of Nonlinearity, Note 5 you state you implied the rate from ED12. How do you do this? I assume you mean (forward) LIBOR, otherwise you would just look at Fed Funds futures and…[Read more]

  • We could see extremely interesting price action this quarter.  There are a number of catalysts we had been anticipating in Q2.  Let’s look for opportunities in the next week or two in the following areas:

    Eq […]

  • One of my former colleagues at JPM was a rocket scientist – literally.  We once discussed how for some corrective system models, you can have a situation where you overshoot before eventually settling to the eq […]

  • There are so many wacky things going on with Eurodollar futures, from libor blowing out to Kong buying EDZ8-Z9 in unprecedented sizes, that it’s hard to get a good handle on what is going on with short end i […]

  • The two big stories this year are: (1) Libor increasing and (2) Kong buying EDZ8-Z9.  These two factors have had a negative impact on the back of the whites.  Kong has also had a negative impact on the steepness o […]

  • How things can change in a week!  A number of the things I mentioned last week are starting to normalize.  Apparently, I don’t live in Bizzaro World after all!

    The libor fixing stabilized. It’s only been […]

  • There are a bunch of strange things going on in the front of the curve (next 12 months).  It’s been a really long time since I’ve seen so many unusual cross-currents go through at the same time:

    The libo […]

  • It has been many years since I’ve seen flows this aggressive and wacky on the US rates curve.  It appears King Kong (the EDZ8-Z9 buyer) likes to try and pound square pegs into round holes.  The curve has wan […]

  • I’m not one of those people constantly calling for an equity correction.  Last year, when everyone was on the “October crash” bandwagon, I said while this was possible, that seemed liked a crowded trade and that t […]

  • Long time readers will know this story, but when I went through the (JPM) Chase two-week trading simulation, I just crushed it.  I had been playing strategy games and video games all my life.  So making markets a […]

  • I’m not claiming to be any kind of Bitcoin expert.  I don’t know much… after all, I’ve been trapped in a block of ice all these years[1].  In particular, I have no idea how Bitcoin (or equivalent) can be considere […]

  • I generally don’t like writing about the same topic on consecutive weeks, but in this case, I have to make an exception.  Consider how much the Open Interest has increased in the Z contracts since the end of 20 […]

  • I’m a big believer in adjusting to what the markets give you.  One of the ways we may get some relative value trading opportunities is when we see large flows that distort the curve.  The premise would be that the […]

  • bambam replied to the topic Oh Canada (BAX) in the forum Main Forum 3 months, 2 weeks ago

    So we rolled,

    H8 is now BAX1 and last we spoke what now is F1 was F2.
    BoC didn’t raise rates in December waiting for the fed to move forward, the fed remained steady with a hike that was 98% priced into the meeting.

    Since then we had an amazing jobs number, and today we read confidence across the headlines.

    Results of the Winter 2017–18 S…[Read more]

  • For the New Year, let’s go back to the basics and see what the markets are pricing in for the FOMC in 2018.  The most common refrain I hear is “three hikes in 2018.”  I can see that.  There appears to be more “sm […]

  • Oliver replied to the topic General Market Chat in the forum Main Forum 3 months, 3 weeks ago

    Hi CA,

    I had a question about using ED’s as a proxy for trading the US yield curve and hope this is the right place for it.

    I read an interesting blog which discussed potential steepner trades on the 2s10s and 5s30s as the yield curve continued to flatten. The trader was looking to hold this for some time as a macro play and another trader asked…[Read more]

  • I (re)heard a good trading quote the other day… “Ever wonder why fund managers can’t beat the S&P 500? ‘Cause they’re sheep — and the sheep get slaughtered.”  The line is by Gordon Gekko, from the movie Wall S […]

  • Curve Advisor replied to the topic Announcements in the forum Main Forum 3 months, 3 weeks ago

    I have a new article on Seeking Alpha on the return of the turn. This was written just this past weekend, on a theme I had been discussing in the CA for the past few weeks with clients.


    We locked in another 38.2 basis-point units last week. This week is your last chance to lock in 2017 rates. Sign up now and get: (1) four free back…[Read more]

  • Curve Advisor replied to the topic The Z turn in the forum Main Forum 3 months, 3 weeks ago

    Viewer Mail: Have noticed that open interest on both edz8 and edz9 are elevated in relation to rest of the curve. Appears has been that way since September. We dropped some after dec midcurve option expiration but still high. Either someone has large edz8/edz9 position. Or maybe related to the Turn??

    Answer: Actually, the EDzs have had…[Read more]

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