Hedge Ratios

 
Hedge Ratios of Eris Standards vs. Treasury Futures
 
Hedge Ratios
Eris Standards Treasury Futures
100 contracts of the below:
2Y 
(LITH7)
5Y
(LIWH7)
7Y
(LIBH7)
10Y
(LIYH7)
2Y
 (TUZ6)
5Y
(FVZ6)
10Y
(TYZ6)
Ultra 10Y
(UXYZ6)
Eris 2Y Stnd (LITH7)
100
45
33
25
59
47
29
 19
Eris 5Y Stnd (LIWH7)
222
100
74
55
132
104
65
42
Eris 7Y Stnd (LIBH7)
299
135
100
75
178
139
87
57
Eris 10Y Stnd (LIYH7)
401
180
134
100
238
187
117
76
UST 2Y (TUZ6)
169
76
56
42
100
78
49
32
UST 5Y (FVZ6)
215
97
72
54
127
100
63
41
UST 10Y (TYZ6)
342
154
114
85
203
159
100
65
UST Ultra 10 (UXZ6)
527
237
176
132
313
246
154
100
    As of 02/21/2017
 
Eris DV01s* and PV01s**
 
Tenor
DV01
PV01
2Y Standard (LITH7) $22.11 $19.71
3Y Standard (LICH7) $31.71 $29.36
4Y Standard (LIDH7) $40.85 $38.76
5Y Standard (LIWH7) $49.73 $48.00
7Y Standard (LIBH7) $67.17 $65.86
10Y Standard (LIYH7) $90.46 $91.10
30Y Standard (LIEH7) $219.87 $229.24
As of 02/21/2017 
*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
             
100 Eris Standard 5Y = $5,023 (101 X 49.73)
10 Eurodollar 5Y Bundle =  $5,000 (10 X 4 X 5 X 20)
 
Learn More: Eris vs. Treasury Futures
 

 

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