Eurodollar spread finds interest

The Eurodollar Septmeber 2015-Septmeber 2016 calendar spreads traded 2,000 at 91 - seller initiated. This one-year calendar spread is about 4 bps below its two month high of 99.5 wide recorded a week ago. The first session of this month saw a multi-year low of 66.5, a level last seen in May of 2013 when volume spiked to more than 6 times the average weekly volume since 2005. Volume has been less spectacular of late as market participants are want for additional insight on Fed ‘normalization’ plans.

About the Author

Martin McGuire, managing director at TJM Institutional Services