Contents Listing
About the Author
Preface
Introduction
- STIR Futures - Quick Summary
1. STIR Futures
Introduction to STIR Futures
- What are futures?
- What are STIR futures?
- Where and how are they traded
- Contract structure and general specifications
- Contract specifications for the Eurodollar contract
- Buying and selling STIR futures
- Buying and selling STIR futures as notional borrowings and lendings
- Introduction to spreads and strategies
- A typical trader's screen
- The advantages of trading STIR futures compared to other financial products
STIR Futures Pricing
- Spot and forward rates
STIR Futures Valuation
- Basic pricing concepts
- Valuing Euribor futures
- Advanced pricing concepts
Hedging with STIR futures
- A simple hedging example
The Drivers of STIR Futures Prices
- The changing shape of the futures curve
- The curve is constantly changing
- Liquidity considerations of the micro-curve
- Seasonal influences
- Price-sensitive effects
- Correlated markets
- Uncorrelated markets
- Event risk
- Systemic risk contagion
Conclusion
2. Mechanics of STIR Futures
Accessing the Markets
- Clearing and settlement
- Margin requirements
- Comparison of futures settlement with equities and CFDs
Fixed and variable costs
- Fixed costs
- Variable costs
Liquidity and rebate schemes
- STIR Liquidity Provider (LP)
- STIR Discount Schedule
- New Market Participants Scheme (NMP)
- International Incentive Program (EIP)
- New Trader Incentive Program (NTIP)
The choice of Clearing Member or Trading Arcade
- Customer classification
- Financial probity
- Financial protection
- Capital requirements and commissions
- Technological ability
- Trading arcades
Software and hardware
- Trading algorithms
- Implied pricing functionality
- Implied prices - traders' friend or foe?
Selecting an ISV
- Price displays
- Two or one-click dealing
- Risk management considerations
Influences Regarding the Trader's Choice of Markets and Contracts
- Domicile and time zones
Remote Trading
- Internet
- Virtual private network (VPN)
- Digital private circuit
- Connectivity speed
3. Trading STIR Futures
Trading Opportunities: The Two Trades
- Outright trading
- Spread trading
Spread Trading: Intra-Contract Spreads
- Calendar spread
- Butterfly spread
- Condor spread
- Introduction to strips, packs, bundles and stacks
Spread Trading: Inter-Contract Spreads
- Price sensitivity
- The swap spread
- Trading swap spreads using bonds and bond futures against STIR futures
- Introduction to basic bond pricing
- Introduction to bond futures
- The TED spread
- OIS/LIBOR Spreads
- Spreading STIR futures against swap futures
- Spreads between international STIR futures
- Summary - when to use the strategies
4. Trading Considerations for STIR Futures
Zero-Sum Game - Know the Players
- Players
- Hedge funds
- Banks
- Hedgers
- Brokers
- Independent traders/liquidity providers
- Flippers/predatory algorithms
- High frequency and algorithmic trading
Supporting cast
- 'Winning' trading systems
- The pundits
How to Play
- Specialisation
- Key characteristics and considerations
- Trader's nemesis
Game Play
- The discovery process
- Trigger point
- Guide to technical indicators
- Momentum and strength indicators
Endgame
A Day in the Life of a STIR Futures Trader
Ten Rules For Trading STIR Futures
Appendices
STIR Futures Contracts
Contract Specifications For Eurodollar, Euribor, Short Sterling and Euroswiss
Exchanges
Some Clearing Members
Independent Software Vendors (ISV)
Trading Arcades
Key Policy Rate Changes (EUR, USD)
Bibliography
Index
About the Author
Preface
Introduction
- STIR Futures - Quick Summary
1. STIR Futures
Introduction to STIR Futures
- What are futures?
- What are STIR futures?
- Where and how are they traded
- Contract structure and general specifications
- Contract specifications for the Eurodollar contract
- Buying and selling STIR futures
- Buying and selling STIR futures as notional borrowings and lendings
- ...
