Hedge Ratios

 
Hedge Ratios of Eris Standards vs. Treasury Futures
 
Hedge Ratios
Eris Standards Treasury Futures
100 contracts of the below:
2Y 
(LITZ7)
5Y
(LIWZ7)
7Y
(LIBZ7)
10Y
(LIYZ7)
2Y
 (TUZ7)
5Y
(FVZ7)
10Y
(TYZ7)
Ultra 10Y
(UXYZ7)
Eris 2Y Stnd (LITZ7)
100
45
33
24
62
49
30
 20
Eris 5Y Stnd (LIWZ7)
224
100
73
53
139
109
66
45
Eris 7Y Stnd (LIBZ7)
307
137
100
73
191
149
91
62
Eris 10Y Stnd (LIYZ7)
421
188
137
100
262
205
125
85
UST 2Y (TUZ7)
161
72
52
38
100
78
48
32
UST 5Y (FVZ7)
205
92
67
49
128
100
61
41
UST 10Y (TYZ7)
338
151
110
80
210
165
100
68
UST Ultra 10 (UXYZ7)
497
222
162
118
310
242
147
100
    As of 08/30/2017
 
Eris DV01s* and PV01s**
 
Tenor
DV01
PV01
2Y Standard (LITZ7) $22.99 $19.60
3Y Standard (LICZ7) $32.18 $29.20
4Y Standard (LIDZ7) $42.05 $38.60
5Y Standard (LIWZ7) $51.48 $47.86
7Y Standard (LIBZ7) $70.48 $65.85
10Y Standard (LIYZ7) $96.80 $91.43
30Y Standard (LIEZ7) $240.14 $224.22
As of 08/30/2017 
*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
             
97 Eris Standard 5Y DV01= 4,994
10 Eurodollar 5Y Bundle DV01 =  $5,000
 
Learn More: Eris vs. Treasury Futures
 

 

DISCLAIMER: The information on this page is compiled by Eris Exchange for general purposes only. Eris Exchange does not warrant the accuracy or completeness of the information, and disclaims liability for errors or omissions. Nonetheless, Eris Exchange strives to provide accurate and timely information and reserves the right to make changes and corrections at any time, without notice, but makes no commitment to update the information. The content is provided "AS IS" as there may be inadvertent inaccuracies, errors and omissions. All examples are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience.