Block Trades Against QB Algos: Evidence From EUREX Interest Rate Calendar Spreads

Our research focuses on block trades in Eurex futures interest rate (IR) product calendar spreads. The existing literature has not touched the calendar spreads in rates futures to the extent known. Our focus on the rate calendar spread is motivated by the pattern observed in the enhanced trading activity of the blocks during the start of the calendar spread roll periods in the Eurex IR products. Our analysis also quantifies the price impact of the block trades for the spread contract and compares the block cost against QB Algo’s production cost for historical IR calendar spreads.

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