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Fed funds are one month exposure so March 1- March 31. The 3 month sofr has 3 months of daily weighted averages. There is also a 1 month sofr contract. The sofr complex is more like the fed funds complex in it s calc method as opposed to how euros settled. What ever was the 3month euro...

Settlement price is based on the daily rate from March 20 to June 20. Similar to the CME fed funds contract. So it starts out as forward looking until March 20 than changes to backwards looking as each day is added in till June 20 when the weighted average of the period will be known.

Yes, But slippage will happen your looking at H24 spot on the curve vs 2yr's and of course trading ratio in whole # of contracts.

Normally when I trade 2yr's vs sofr I use 2yr SOFR bundles at 1X1 much cleaner

Cash 2yr 3 7/8 3/25 = 7 SFRH24 or with TUM3 its 8 SFRH24 vs 5 TUM3 rough estimates DO NOT USE with out checking first !!!

Discretionary swing trader mostly in the rates space. Zero pl ytd and that's a positive. Always have trouble in January as banks/dealers expand their balance sheet's and positions. A few more traders in the pool.

I have Bloomberg so I use that for visual que but I like Financial Juice audio stream. I can watch the markets and hear the details.

I currently use Z23 for my spec positions EDZ23 OI =763,538 SFRZ23 OI = 869,396 Just saying... the spec has moved to SOFR and will continue to.

Sorry forgot the most obvious choice... CME Fed Fund futures.

I've stopped using Eurodollars and moved over to SOFR futures @ CME. OI is larger and liquidity MUCH better. The euro complex will be converted over to SOFR I think in June next year. Other options TU's 2yr futures, CME 2yr Micro yield futures.

UST usually settle for reg so if you buy today 11/29/22 for settlement 11/30/22 you will NOT receive the 11/30/22 coupon. UST are priced principal+accred interest. Your 11/30/22 purchase will have zero accred interest in the pricing. If held to maturity 11/30/2023 you will receive 2 semi...

For info ONLY ! no guarantee... $ value on one bond micro = $4,321.00 @ 4.321 with TLT @ 93.40 so 1 micro vs 46 TLT. Looking at correlation looks very high. I use ULA (ultra bond) futures also to hedge TLT

When yields rise prices of outstanding issues falls. Yields have an inverse relationship to price.

I would use TreasuryDirect to invest directly with the US Treasury. For example they are auctioning 2month bills tomorrow with an end date of 11/15/2022. The discount rate is currently 2.88 or 2.93 in yield terms. Bills are issued at a discount so your 100,000 investment has a cost of 99,552.00...

I've been trading UST micros from the start last year. While I do wish they had more flows overall I think that the complex has been growing and generating increasing numbers of users. Open interest has been increasing and monthly calendar rolls have been much more active. I do trade the...

I looked around I don't think the cur function works on a single leg. To get an idea of the spread basic Q Formula: SPREAD(EDAH23-EDAZ22, CUR, 25.0, 1:1) DOM ladder is 300 bid 350 offer futures spread is 13 ticks @ $25.00 per tick so 325 mid market = $325.00 dollar spread I use this function...

Been thinking about this topic. I can only speak about CQG as it's my current frontend for futures spreading. For some inter commodity spreads I have them formatted with the "CUR" function. It spreads the total dollar value for each side and formats the DOM ladder in $ terms. Charting and...

Yes + Exchange data feeds

Have to have core needs ie messaging, execution, data feed for excel. Otherwise better options.

I prefer for slower markets overall but you have to love the rush of full panic mode where every headline spits out an overreaction. Being older it's hard to maintain the focus required all day every day for weeks on end. The physical drains start to add up.