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)
221
100
73
54
138
109
66
45
Eris 7Y Stnd (LIBZ7)
301
136
100
73
188
148
90
62
Eris 10Y Stnd (LIYZ7)
411
185
136
100
256
202
123
84
UST 2Y (TUZ7)
160
72
53
39
100
79
48
33
UST 5Y (FVZ7)
203
92
68
50
127
100
61
42
UST 10Y (TYZ7)
333
151
111
81
208
164
100
68
UST Ultra 10 (UXYZ7)
489
221
162
119
305
240
147
100
    As of 10/24/2017
 
Eris DV01s* and PV01s**
 
Tenor
DV01
PV01
2Y Standard (LITZ7) $22.89 $19.57
3Y Standard (LICZ7) $31.90 $29.11
4Y Standard (LIDZ7) $41.54 $38.41
5Y Standard (LIWZ7) $50.68 $47.54
7Y Standard (LIBZ7) $68.96 $65.21
10Y Standard (LIYZ7) $94.00 $90.19
30Y Standard (LIEZ7) $224.98 $217.51
As of 10/24/2017 
*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
             
99 Eris Standard 5Y DV01= $5,017
10 Eurodollar 5Y Bundle DV01 =  $5,000
 
Learn More: Eris vs. Treasury Futures
 

 

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