Chapter 16 reproduces the research note:
• Trading the Turn (1993)
To help traders keep an eye on the market’s view about the turn, we created the “Eurodollar and LIBOR Turn Report,” shown in Exhibit 17.1. This report shows by year how much the December contract is out of line, how many days there are in each year’s turn, and what the distortion implied for a turn premium in the year-end Fed funds rate.
EXHIBIT 17.1Eurodollar and LIBOR Turn Report
In the particular example shown here, the turn distortions are comparatively ...