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
24
60
46
29
 19
Eris 5Y Stnd (LIWM7)
224
100
74
55
134
104
65
43
Eris 7Y Stnd (LIBM7)
303
135
100
74
181
140
88
58
Eris 10Y Stnd (LIYM7)
409
182
135
100
244
189
118
78
UST 2Y (TUM7)
167
75
55
41
100
77
48
32
UST 5Y (FVM7)
216
97
71
53
129
100
63
41
UST 10Y (TYM7)
345
154
114
84
206
160
100
66
UST Ultra 10 (UXYM7)
522
233
172
128
312
241
151
100
    As of 04/17/2017
 
Eris DV01s* and PV01s**
 
Tenor
DV01
PV01
2Y Standard (LITM7) $22.13 $19.66
3Y Standard (LICM7) $31.58 $29.30
4Y Standard (LIDM7) $40.74 $38.72
5Y Standard (LIWM7) $49.62 $47.98
7Y Standard (LIBM7) $67.12 $65.96
10Y Standard (LIYM7) $90.63 $91.51
30Y Standard (LIEM7) $215.30 $233.59
As of 04/17/2017 
*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 = 5,012 (101 X 49.62)
10 Eurodollar 5Y Bundle =  $5,000 (10 X 4 X 5 X 20)
 
Learn More: Eris vs. Treasury Futures
 

 

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