Liquidations are the Story in Eurodollar Futures

April 14, 2020 04:00 PM
Muted volumes after the long Easter holiday weekend
Most action in Eurodollar futures was liquidations, U.S. Treasuries mixed
Focus continues to be on the front end of the curve in Eurodollars, 10-year in U.S. Treasuries
Interest Rates Report

Interest Rates Report

Trading got off to a slow start on Monday as volumes were low coming off of the extended Easter weekend. Liquidations were the story in Eurodollar futures as focus remained on the front end of the curve. Trading in the White contracts (EDK0-EDH1) represented about 62% of the total volume. In U.S. Treasuries, it was the 10-year (TY) contract that dominated, with almost 57% of the day’s total traded in TYK0 & TYM0.

Big Trades


Blue Sep (E3U, EDU3) 98.75/99.00 put spread, paying 4 on 10K

Short Sep (E0U, EDU1) 99.00/99.25 put spread, selling 30K at 0.5 vs 99.715

EDM0 98.625/98.75 put stupid vs 99.625 calls, selling calls at 2, 40K


EDM0 99.125/99.375 put spread 1x3, paying even for the 1 leg, 10K

5 Yr June (FVM0) 125/126/127 call fly, selling 30K at 14.5 vs 125’025

Green June (E2M, EDM2) 99.125/99.375/99.625 put fly, paying 5.5 on 10K

Quick Takes

1. Monday’s action in Eurodollars was muted and focused on liquidations. Here’s a good look at the action:

Source QuikStrike

The down bars represent closing open interest, with a value of -1.0 suggesting all volume was decreasing open interest in that contract. As you can see, heavily weighted to closing position at the front of the curve.

2. The 5-year trade looks to be a liquidation. These were bought back in late March with futures trading slightly higher than their current levels. Could it be that this player is nervous about yields moving beyond 0.43% by the May 22 expiration?  Or did they simply get bored with this trade, which isn’t uncommon with flies.

3. The Green June fly traded 5.5 for 10K on a block trade. Immediately after, it traded at 5 on the screen. It looks like the block seller quickly took advantage and lifted the screen offer. With all the focus on the front end of the curve, finding value in the deferred contracts can be difficult. It’s possible that some market participants don’t have accurate models set up for these contracts. Or it could be that the buyer was just impatient. Either way the seller probably doesn’t have any issues with that gift!


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