The Eurodollar Futures and Options Handbook - Burghardt

Today's Eurodollar market -the market for dollar denominated deposits outside of the United States-is perhaps the largest and most liquid of the world's short-term dollar markets and is becoming the new standard of value for fixed income markets. For over a decade, futures and options traders in this market have relied on Eurodollar Futures and Options (by Burghardt, Belton, Lane, Luce, and McVey) for accurate market analysis coupled with solid, results-oriented trading and hedging strategies. Markets have changed dramatically, however, and the need for a comprehensive new handbook has become obvious and acute.

The Eurodollar Futures and Options Handbook takes over where that book left off and incorporates all of the major advances in understanding how Eurodollar futures and options work and how traders and hedgers should use them. With contributions from Galen Burghardt, his colleagues, and collaborators, this hands-on volume focuses on every facet of this powerful market.

It provides practitioners with practical, detailed discussions of: 1) the Eurodollar market: growth, expansion, and consolidation of the interest rate markets; key money market developments; the birth of Eurodollar futures; exchange-traded money market futures and OTC interest rate swaps; 2) Eurodollar futures: the Eurodollar futures contract; forward and futures interest rates; hedging with Eurodollar futures; pricing and hedging swaps; the convexity bias, with new convexity bias series; measuring and trading term TED spreads; hedging and trading with stacks, packs, and bundles; hedging extension risk in callable agency notes; the S&P 500 calendar roll; trading the turn; 3) Eurodollar options: the Eurodollar option contract; price, volatility, and risk parameter conventions; caps, floors, and Eurodollar options; structure and patterns of Eurodollar rate volatility; trading with serial and mid-curve Eurodollar options; relative versus basis point volatility, including volatility cones; hedging convexity bias.

Until now, most of the material in this book was available only in assorted and often hard to find research notes. Eurodollar futures and options traders had to seek out special courses or know someone who had access to these notes. The Eurodollar Futures and Options Handbook combines greatly improved basic tools and research applications with current research on Eurodollar futures and options, and saves you both time and money by giving you all of the important basic tools and applications in one comprehensive, accessible volume.

  • Level: Basic
  • Major Topics: T12
  • Minor Topics: T14


Table of Contents

Part 1. The Emergence of the Eurodollar Market
1. The Emergence of the Eurodollar Market

Part 2. Building Blocks: Eurodollar Futures
2. The Eurodollar Time Deposit
3. The Eurodollar Futures Contract
4. Forward and Futures Interest Rates
5. Hedging with Eurodollar Futures
6. Pricing and Hedging a Swap with Eurodollar Futures

Part 3. Eurodollar Futures Applications
7. The Convexity Bias in Eurodollar Futures
8. Convexity Bias Report Card
9. New Convexity Bias Series
10. Convexity Bias: An Update
11. Measuring and Trading Term TED Spreads
12. TED Spreads: An Update
13. Hedging and Trading with Eurodollar Stacks, Packs, and Bundles
14. Hedging Extension and Compression Risk in Callable Agency Notes
15. Opportunities in the S&P Calendar Roll
16. Trading the Turn: 1993
17. The Turn: An Update

Part 4. Building Blocks: Eurodollar Options
18. The Eurodollar Option Contract
19. Price, Volatility, and Risk Parameter Conventions
20. Caps, Floors, and Eurodollar Options
21. Structure and Patterns of Eurodollar Rate Volatility
22. Practical Considerations

Part 5. Eurodollar Option Applications
23. Trading with Serial and Mid-curve Eurodollar Options
24. Serial and Mid-curve Options: An Update
25. What Happens to Eurodollar Volatility when Rates Fall?
26. Eurodollar Volatility: An Update
27. Hedging Convexity Bias…read more