Hedge Ratios

 
Hedge Ratios of Eris Standards vs. Treasury Futures
 
Hedge Ratios
Eris Standards Treasury Futures
100 contracts of the below:
2Y 
(LITM7)
5Y
(LIWM7)
7Y
(LIBM7)
10Y
(LIYM7)
2Y
 (TUM7)
5Y
(FVM7)
10Y
(TYM7)
Ultra 10Y
(UXYM7)
Eris 2Y Stnd (LITM7)
100
45
33
25
60
46
29
 19
Eris 5Y Stnd (LIWM7)
223
100
74
55
133
104
65
43
Eris 7Y Stnd (LIBM7)
301
135
100
74
180
140
88
58
Eris 10Y Stnd (LIYM7)
404
181
134
100
242
188
118
78
UST 2Y (TUM7)
167
75
56
41
100
78
49
32
UST 5Y (FVM7)
215
96
72
53
129
100
63
42
UST 10Y (TYM7)
342
154
114
85
205
159
100
66
UST Ultra 10 (UXYM7)
516
231
172
128
308
240
151
100
    As of 05/08/2017
 
Eris DV01s* and PV01s**
 
Tenor
DV01
PV01
2Y Standard (LITM7) $22.11 $19.64
3Y Standard (LICM7) $31.50 $29.24
4Y Standard (LIDM7) $40.55 $38.61
5Y Standard (LIWM7) $49.32 $47.80
7Y Standard (LIBM7) $66.52 $65.62
10Y Standard (LIYM7) $89.47 $90.82
30Y Standard (LIEM7) $209.56 $229.48
As of 05/08/2017 
*DV01: Change in NPV per contract for a 1 basis point change in swap rates  across the curve.
**PV01: Change in NPV per contract for a 1 basis point change in contract's fixed rate.
 
Trade Eris Alongside Eurodollars
             
101 Eris Standard 5Y = 4,981 (101 X 49.32)
10 Eurodollar 5Y Bundle =  $5,000 (10 X 4 X 5 X 20)
 
Learn More: Eris vs. Treasury Futures
 

 

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