Eurodollar butterflies sold-exit from short?

Sell initiated Eurodollar 1-year butterflies.  

-11K sold EDZ4/ EDZ5/ EDZ6 at -42 and -30K sold EDH5/ EDH6/ EDH7 at -15.5 to -16

Both of these butterfly spreads are well off their recent high from a week ago (-32 in z4/z5/z6  on May 5 and from -5.5 h5/h6/h7 on May 6)                                                                                                      These trades are consistent with an exit from bearish positioning in Eurodollars. Remember that a week ago, a new record net-short Eurodollar futrues (and futures and options).  

Yesterday there was a 100k trade in EDH6 (red March) that was buyer initiated.  

Open interest rose by 54K in EDH6 yesterday.

 

About the Author

Martin McGuire, managing director at TJM Institutional Services

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