9/21/2008 11:36:09 AM
Greetings, J.E.D.I.
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This e-mail is to alert you to the following:
(1) Buy to open one (1) 30 Day Fed Funds October 2008 99 Call Option (Ticker Symbol: FFV899C) and one (1) 30 Day Fed Funds October 2008 98 Put Option (Ticker Symbol: FFV898P) at a limit price of $0.035 good for the day (.005 for the call option and .03 for the put option)
(2) Buy to open one (1) 30 Day Fed Funds November 2008 98.625 Call Option (Ticker Symbol: FFX898.625C) and one (1) 30 Day Fed Funds November 2008 98 Put Option (Ticker Symbol: FFX898P) at a limit price of $0.035 good for the day (.005 for the call option and .03 for the put option)
(3) Buy to open one (1) 30 Day Fed Funds December 2008 98.75 Call Option (Ticker Symbol: FFZ898.75C) and one (1) 30 Day Fed Funds December 2008 98 Put Option (Ticker Symbol: FFZ898P) at a limit price of $0.015 good for the day (.005 for the call option and .01 for the put option)
(4) Buy to open one (1) 30 Day Fed Funds January 2009 98.50 Call Option (Ticker Symbol: FFF998.50C) and one (1) 30 Day Fed Funds January 2009 98 Put Option (Ticker Symbol: FFF998P) at a limit price of $0.035 good for the day (.005 for the call option and .03 for the put option)
Estimated Commission: $103.92 ($25.98 for each spread/straddle order (or $25.98x4))
Estimated Order Total (If all orders are filled): $647.44 ($543.52 + $103.92)
Contract Specifications: FF, CBOT
| Trading Unit: | 5 million | |
| Tick Size: | $20.835 per 1/2 of one basis point | |
| Quoted Units: | 100 - the avg daily fed funds overnight rate | |
| Initial Margin For Futures Contract : | $1,148 Maint Margin for Futures Contract: $850 | |
| Contract Months: | All 12 months. | |
| First Notice Day: | Cash settled. | |
| Last Trading Day: | Last business day of the delivery month. | |
| Trading Hours: | Open Outcry: 7:20 a.m. - 2:00 p.m. Chicago time, Mon-Fri. Trading in expiring contracts closes at 2:00 p.m. Chicago time on the last trading day. | |
| Daily Limit: | none |
My fellow J.E.D.I.,
I am expecting some volatility on the options on the 30 Day Fed Funds contracts between now and December 2008. We have not seen volatility on the 30 Day Fed Funds for a while. I personally think that the 30 Day Fed Funds is long overdue for some volatility especially given the events and upcoming events. Thus I believe it is imporant to be involved in the 30 Day Fed Funds options.
And the best way I believe to be involved in the 30 Day Fed Funds is by straddling the 30 Day Fed Funds Options for October 2008, November 2008, December 2008 and January 2009. We have received fill for the September 2008 straddle. Now it is time to straddle the October 2008, November 2008, December 2008, and January 2009 30 Day Fed Funds Options Contract as indicated above.
Assuming we receive a fill for all four (4) straddles/spread contracts months (October 2008, November 2008, December 2008 and January 2009) on our straddle orders, if nothing happens on the 30 Day Fed Funds for these months our maximum loss on our trades is $647.44 (only if all contracts expire worthless).
Below are charts of the 30 Day Fed Funds for October 2008, November 2008, December 2008 and January 2009:
October 2008
November 2008
December 2008
January 2009
Good Luck!
And may the force of volatility will be with you.
Best Regards,
