Hedge Ratios

 
Hedge Ratios of Eris Standards vs. Treasury Futures
 
Hedge Ratios
Eris Standards Treasury Futures
100 contracts of the below:
2Y 
(LITU7)
5Y
(LIWU7)
7Y
(LIBU7)
10Y
(LIYU7)
2Y
 (TUU7)
5Y
(FVU7)
10Y
(TYU7)
Ultra 10Y
(UXYU7)
Eris 2Y Stnd (LITU7)
100
46
34
24
64
49
31
 20
Eris 5Y Stnd (LIWU7)
217
100
73
53
138
107
66
44
Eris 7Y Stnd (LIBU7)
297
136
100
72
188
145
91
60
Eris 10Y Stnd (LIYU7)
411
189
138
100
261
201
125
83
UST 2Y (TUU7)
157
72
53
38
100
77
48
32
UST 5Y (FVU7)
204
94
69
50
130
100
62
41
UST 10Y (TYU7)
328
151
110
80
208
161
100
66
UST Ultra 10 (UXYU7)
497
229
168
121
316
244
152
100
    As of 06/22/2017
 
Eris DV01s* and PV01s**
 
Tenor
DV01
PV01
2Y Standard (LITU7) $23.47 $19.61
3Y Standard (LICU7) $31.74 $29.22
4Y Standard (LIDU7) $41.80 $38.61
5Y Standard (LIWU7) $51.02 $47.85
7Y Standard (LIBU7) $69.62 $65.80
10Y Standard (LIYU7) $96.40 $91.31
30Y Standard (LIEU7) $230.77 $223.57
As of 06/22/2017 
*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
             
98 Eris Standard 5Y = 5,000 (98 X 51.02)
10 Eurodollar 5Y Bundle =  $5,000 (10 X 4 X 5 X 20)
 
Learn More: Eris vs. Treasury Futures
 

 

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