Entries by Peter Brandt

October Webinar Recording

/by

October Webinar Recording

This webinar was recorded live October 13, 2016 for members of the Factor Service.  We are releasing this month's webinar (one time only) as a public blog post for all to see.  More information on the content and discussion points of the webinar can be found below the video.  Details regarding the Factor Service can be found near the bottom of this post.

Read More

CORRECTED Factor Alert — Eurodollar spread, October 27, 2016

/by
This is a corrected Factor Alert regarding the Eurodollar spread strategy. I was not as clear as I needed to be -- the confusion coming from the fact that higher yield rates equal lower Euro prices. It is easy to become confused in the process, especially when dealing with spread differentials.
The trade I am in and recommend is to be long the nearer contract (ED5) and short the deferred contract (ED10). This strategy anticipates that deferred contracts will build in an expectation for larger interest rate hikes in the future than are currently priced into the market. Narrow spreads, as we have now, anticipate only minor Fed rate hiking in the future.
The email below corrects the previous communications. Sorry for the confusion. The charts are more clearly labelled.

******************************************************************************

Eurodollars (interest rate) are by at least one magnitude the most liquid futures market in the world. The Eurodollar market was one of my favorite markets to trade prior to the insane QE-infinity of the world's central bankers. It is insane how liquid Euros are -- typical monthly volume will exceeds 40 million contracts. Unlike most futures markets wherein the liquidity resides in the nearest contract, Euro contracts are liquid for several years into the future.

Read More