• In addition to the above trade i liked these two as well..
    1. ED357 BUY@-0.5 with dec15dec16 sell@90 Logic being if so many hikes are priced in dec15dec16 then shouldn’t the ED357 fly be up in Positive.
    2. EDcm3 sell 3lots and EDcm7 buy 2 lots( not very convinced about this ratio though).
    Plz tell how would you have approached the two ideas if you…[Read more]

  • Hi,
    I spotted a trade in Eurodollar markets
    buy 357 fly and sell 579 fly.
    The difference is at -12 bps.
    How should I assess that this trade has a value?
    What should be the strategy if it goes against from here ? ( Should I build up the position or should I halve it or cut stop loss )
    If the trade doesn’t convince you what are the reasons behind it…[Read more]

  • I generally don’t have the view on the directions of the markets ( mostly my assessment is wrong). So i generally look for the trade which looks good relatively.
    After the NFP reading in march, short sterling strip sold off heavily ( more than it should) and flies bid up aggressively. And after the reversal of 15-20 bps the 5th generic fly was…[Read more]

  • Hello,
    I found your articles very interesting which you posted on CME website.
    In “curvature trading” you showed a scatter plot between a butterfly and outright. If I have found a trade in which the current price is a outlier and want to trade it, what should be the ratio of outright( pack) and butterfly and how do we calculate it.