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
34
25
60
47
29
 20
Eris 5Y Stnd (LIWM7)
222
100
74
56
133
104
65
43
Eris 7Y Stnd (LIBM7)
298
134
100
75
178
139
88
58
Eris 10Y Stnd (LIYM7)
399
180
134
100
239
186
118
78
UST 2Y (TUM7)
167
75
56
42
100
78
49
33
UST 5Y (FVM7)
214
97
72
54
128
100
63
42
UST 10Y (TYM7)
339
153
114
85
203
159
100
67
UST Ultra 10 (UXM7)
510
230
171
128
305
238
150
100
    As of 03/20/2017
 
Eris DV01s* and PV01s**
 
Tenor
DV01
PV01
2Y Standard (LITM7) $22.07 $19.62
3Y Standard (LICM7) $31.38 $29.19
4Y Standard (LIDM7) $40.32 $38.52
5Y Standard (LIWM7) $48.95 $47.66
7Y Standard (LIBM7) $65.83 $65.35
10Y Standard (LIYM7) $88.18 $90.30
30Y Standard (LIEM7) $202.74 $226.56
As of 03/20/2017 
*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
             
102 Eris Standard 5Y = 4,954 (102 X 48.95)
10 Eurodollar 5Y Bundle =  $5,000 (10 X 4 X 5 X 20)
 
Learn More: Eris vs. Treasury Futures
 

 

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