SOFR - 2YR

[killATwill]

Anyone know about how to balance a SOFR 2YR spread? How many 2Yrs per SOFR contract?

Thx

 

[MrMuppet]

Depends. How do you want to structure the trade? DV01 adjusted?

 

[killATwill]

Thx for responding. Looking at the March 2024 contract for SOFR. Just balancing based on size of contracts.

 

[Repoguy]

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 !!!

 

[Repoguy]

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

 

[killATwill]

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 !!!

Thx so in your example 1 ZT is worth 8/5 SQ?

 

[Repoguy]

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.