Curvature Trading

New Joseph Choi Report: Using CME Eurodollar Options in Curve Trading

Curve trading is one of the best-kept-secrets in a trader’s arsenal. But one that has valuable applications in: (1) directional trading, (2) range trading, (3) options trading, and (4) market-making. In the first of four issues, experienced trader Joseph Choi –who spent years as a senior proprietary trader -- highlights how an understanding of curve trading and nonlinearity can be used to construct and trade a Eurodollar futures butterfly structure, with these benefits:

  • Improve returns by using Eurodollar options to create curve strategies with defined risk parameters 
  • Create a useful analytical platform to integrate options into a Eurodollar portfolio 
  • Learn how to value Eurodollar options as a function of probability

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Disclaimer: This information was obtained from sources believed to be reliable, but we do not guarantee its accuracy. Neither the information nor any opinion expressed therein constitutes a solicitation of the purchase or sale of any futures or options contracts.