Aug 13 2009
Update on Eurodollar Trade Idea
Just a quick update on the Eurodollar Convergence Trade.Â
The current 3mo LIBOR rate is now about 0.44%. If that were to hold the December Eurodollars would settle with a value of 99.56. Recall that they were trading at about 98.735 when I wrote up the trade idea, so that would be a gain  of over $2000. The EDZ9 is currently at 99.405, so there is a little bit of room yet for convergence.
The Dec 98.75 call was the at-the-money option at the time of the intial post. It had a price then of 32.0. According to the CME web site the latest price was 69, meaning the options are up  about 115%.
And of course the 98.75/99.00 call spread is at maximum profit right now.
The If the US is Japan, Buy Long Bonds hasn’t really done anything much so far. Bond prices are about level with where they were when that was written up, having given back some earlier gains.
Here are some other posts which might interest you:
