Eurodollar (ED) - limited upside
Posted: Wed Jun 11, 2003 7:13 am
Just like my mate the Euroyen, ED is just about done as a buy side winner (unless you think 3mth libor will become negative).
Z3 hit 99.00, only 100 points to go and then what? In fact, there must be a price 99.00>X<99.99 where long term trend traders will not follow buy orders. For my system, the initial risk in points on ED is between 25 and 50, depending on volatility.
On a related matter, in 2001 I knew a fellow that sold Euryen at 99.90 on the theory that he had only 10bps max loss. He held that position for the whole year. Didn't go far.
Z3 hit 99.00, only 100 points to go and then what? In fact, there must be a price 99.00>X<99.99 where long term trend traders will not follow buy orders. For my system, the initial risk in points on ED is between 25 and 50, depending on volatility.
On a related matter, in 2001 I knew a fellow that sold Euryen at 99.90 on the theory that he had only 10bps max loss. He held that position for the whole year. Didn't go far.