• Please see attached for document.

  • Hi Joseph,

    I wanted to ask you about the relationship between short term interest rates and say other treasury futures. Is there a meaningful one that can be exploited from your experience?

    I read an article awhile back saying how the 2 Year Carry spread (2 Year Yield Vs Target FF Rate) represents feds hiking expectations after the third…[Read more]

  • Thanks for the response. I will attempt to fix it and see if I have more questions. Currently, I am building the spreadsheet on google sheets which is convenient.

    I am failing to create the pricing of each meeting to get a holistic view. In the blog posts you occasionally write, you post each meetings pricing in bps. When I tried to replicate…[Read more]

  • See this attachment for 1.png.

  • Thanks so much for the pointers!

    I’ve just created the spreadsheet and came to the same conclusion of the GEH7-M7 spread having no exposure to March. See attached(1.png).

    Using just Eurodollars futures, is it possible to back out how many rate hikes there are priced in between May and December? For example, according to the spreadsheet the…[Read more]

  • Not sure if this question should be on a new thread. Feel free to move it where ever it belongs.

    I was comparing the prices of Eurodollar CS spreads from 2/28 when fed speakers started to hint on March rate hike until today 3/9 when the market has priced in a much higher probability of a hike. I wanted to share my observation to see if my…[Read more]

  • Not sure if this question should be on a new thread. Feel free to move it where ever it belongs.

    I was comparing the prices of Eurodollar CS spreads from 2/28 when fed speakers started to hint on March rate hike until today 3/9 when the market has priced in a much higher probability of a hike. I wanted to share my observation to see if my…[Read more]

  • This month end pricing distortion seem to have started recently (after 2015). I think it existed before but at a much less noticeable way. Is it because something structural changed?

  • This is very interesting and it goes back to your framework of understanding the markets positioning to get a feel of what people are thinking about.

    I wonder if looking at seasonal open interest roll downs can help differentiate between rolls and actual positioning changes. For example looking at all April contracts going back in time and…[Read more]

  • I am not following your steps. So for April, we don’t have FFR rate for 4/1,4/2,4/14( good Friday), 4/29 and 4/30?

    You mentioned: “You just list every day on a spreadsheet, and put in a FFER for each day.” What FFER are you talking about? The published FFER is only for the front month futures contract, right? What rate do you use for other…[Read more]

  • I just realized that you answered my question 2 in “Basics: What is priced into each Fed meeting?”. Reading your answer, I have a follow up question:

    Let say I want to determine the current pricing of the May Fed meeting. As of 2/25/2017, the settlements are as follows:

    FFH7 = 99.305
    FFJ7 = 99.275
    FFK7 = 99.195
    FFM7 = 99.145
    FFN7 = 99.105
    FFQ7 =…[Read more]

  • Mike G replied to the topic Data Set Methodology in the forum Main Forum 2 years, 2 months ago

    You mentioned in a few places about building a huge spreadsheet to monitor opportunities and I am thinking of taking on the challenge but am stuck on what information to start with. Would it be correct to assume that the huge spreadsheet you built was to find the best non-linear opportunities in Eurodollars? For example, the best structure would…[Read more]

  • <cite>@Curve Advisor said:</cite>
    One colleague of mine who sat next to me traded a lot of FF futures, so I was able to learn a lot about how the futures were priced.

    From the NY Fed web site: “By trading government securities, the New York Fed affects the federal funds rate, which is the interest rate at which depository institutions lend…

    [Read more]

  • A few questions:

    1. What does it mean when you label a trade to be “DK”? What about “Neutral”?

    2. In the January 8 news letter page 2 you sent me there is a table on Fed Meetings pricing. How do you derive those numbers? Are you just taking the respective Fed Funds Outright futures contract and backing out the implied rates?

    3. In your last…[Read more]

  • Hi Joseph,

    I have a couple of questions from your Newsletter:

    1) What do you mean by buying cheap crisis protection? Does that mean shorting the outright futures? Or are you suggesting some option structures that are under priced? Can you give me an example?

    2) Note sure if this relates to the above but what do you mean by “Look at cheap…[Read more]

  • Hi Joseph,

    I have a couple of questions from your Newsletter:

    1) What do you mean by buying cheap crisis protection? Does that mean shorting the outright futures? Or are you suggesting some option structures that are under priced? Can you give me an example?

    2) Note sure if this relates to the above but what do you mean by “Look at cheap…[Read more]

  • Yes, i just confirmed. They are previous day. I thought I updated the data…sorry about that.

  • Mike G replied to the topic General Questions in the forum Main Forum 2 years, 3 months ago

    In your article series with CME, you mentioned making markets in Eurodollars. Can you explain briefly how that works? Did you make markets at JPM. If so what was that like? Was it main institutional flow?

    Thanks,
    Mike

  • Thanks so much for getting back to me! I am slowly getting a feel for what the prices are implying!

    I’ve attached 3,6,9, and 12 month turn adjusted fly curves as of 2017-2-17. I have 2 more questions.

    1). From the images, I find that 3M and 6M flies are rather choppy. Am I incorrectly plotting this? The article you linked shows rather smooth…[Read more]

  • Mike G replied to the topic Data Set Methodology in the forum Main Forum 2 years, 3 months ago

    Hello Joseph,

    I’ve turn adjusted my data by using linear interpolation. The way I did it was to take the points surrounding each December contract interpolate. After turn adjusting my data, I calculated the constant maturity data using the following equation:

    cm.data = ( (cm.day – front.weight) * back_leg + (back.weight – cm.day) * front_leg ) /…[Read more]

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