Interest Rate Futures Trading In Middle Of Recent Trading Range

February 6, 2020 03:00 PM
Eurodollar options good volume with 1.2M+ contracts traded
Eurodollar Rate futures back and forth with volatility mixed
Last weeks flight to quality on virus fears has been retraced
Interest Rates Report

Interest Rates Report

ED Futures and Options Market Recap: February 6, 2020

A back and forth session with futures ending mostly lower. Most traders are looking ahead to tomorrow’s NFP number with particular interest after Wednesday’s surprising ADP number. In fact, according to Arbor Data Science, “ADP has printed above 270K only 14 times since 2003. 13 of those 14 times saw NFP private print above 250K.” Tomorrow’s consensus is for 152K.

10yr Treasury Futures - Chart by Tradingview

Big Trades


EDH1 98.625/98.875 call spread 2x3, selling the 2 legs at 0.5, 10K (see note)

EDU0 98.75/99.25 call spread, paying 5.5-6 on 60K

EDM0 98.125 put vs 98.625/98.75 call spread, paying 1.25 for the call spread

Short June (E0M, EDM1) 98.375/98.50/98.625 put tree, paying 3 on 15K

EDU0 99.75/100.00 call spread 1x2, paying 3 on 30K


EDU0 98.125/98.25/98.375 put fly, selling 40K at 4

EDU0 98.75/99.25 call spread, paying 5.5 on 15K

EDU0 99.00 calls, paying 3.5 on 30K

EDU1 98.00/98.25/98.50 put fly 2x3x1, selling the body for 0.5, 80K (see note)

EDM0 98.25/98.375 put spread vs Short June (E0M, EDM1) 98.25/98.50 put spread, selling the EDM0 at even, 25K (see note)


Things to Watch in Interest Rate Futures

1) Well, I brought up the idea and it happened again. Our friend the Asian Block Trader continues to pare down the position. Selling the EDH1 2x3’s leaves the position looking like this:

A screenshot of a cell phone

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Seems as if that rally and volatility pop spoked them a bit. Plenty more to go. And just a side note, when they sold those out at 0.5, the true market was more like 2-4. Giving up a lot of edge!

2) Massive trade in the EDU1 pinning the 98.25 strike. As you probably know by now, this has been a very popular strategy since the beginning of the year. But while we have seen plenty of this in the white contracts (EDH0-EDZ0), this is the first time we’ve seen this strategy employed this far out on the curve. I was scratching my head to figure out why they would choose this contract for execution. Then I checked the EDM1 version, which was 0.5-1.0 for the wings. So, basically, EDU1 was the first expiration that they could collect a credit. It rolls positively if we sit around here, but that’s a long way out!

3) Very interesting trade in the EDM0 vs E0M. This is basically the opposite of every flow we have seen so far in these contracts. Could this player be seeing something that’s giving them pause? Of course, it could be a new position, but if it is a liquidation, they have a lot more to go. Definitely keep this on the radar.

About the Author

Albert Marquez is a Chicago-based options and futures broker, specializing in interest rates. You can reach Albert on Twitter@STIR_Report or