SOFR bois?

M

MrMuppet

Hi guys, anybody else trading this stuff?
I traded Eurodollars quite heavily over a decade ago before ZIRP destroyed the volatility.

SOFR is basically the same stuff: Scalping for ticks by transferring liquidity along the curve.
Since most other markets are pretty much dead right now I dabbled in SR3s for the last weeks...just a couple of hundred cars/day and building inventory into small curve rolldown calendars.

Edge is definitely there as most of the screen is just dumb model algos. Haven't looked into packs/bundles since they don't seem to attract paper right now.

I've seen SR3 popping up here and there on ET but I'm not sure if this market is already a thing
 
Repoguy said:
With the conversation of euros to sofr it's the new 3 month stir of choice for hedging or outright exposure.
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That's what I was thinking....there is literally no other choice. I was just wondering why the volume/OI is so small comared to Eurodollars. We've left ZIRP for the first time in ages and everyone and their mom is all over rates right now.

Not that I'm complaining. It's a good market for individual traders
 
I'm just very thankful that's for sure. I do think more hedging has shifted to ois swaps. We are also in a much higher volatility environment so the liquidity in the stack is MUCH lower. You can see the stack build at slow times then poof it's gone. I would also suggest watching the block flows that's where the big 01's play haha.
 
damn...it's been over a decade since I traded rates and wandered off to exotic BS markets so I feel like starting from zero.

Right now it's just an execution game for me while I'm re-reading Stigum's Money Market :D
I find it kinda funny that CME uses A Algo with top order allocation for SR3s and K Algo for SR1. Any idea why that is?
 
I don't trade rates, just follow but the SOFR spot index itself has not only been rising for a while (no kidding) but so has the volume:-
!SOFR.png
 
MrMuppet said:
Hi guys, anybody else trading this stuff?
I traded Eurodollars quite heavily over a decade ago before ZIRP destroyed the volatility.

SOFR is basically the same stuff: Scalping for ticks by transferring liquidity along the curve.
Since most other markets are pretty much dead right now I dabbled in SR3s for the last weeks...just a couple of hundred cars/day and building inventory into small curve rolldown calendars.

Edge is definitely there as most of the screen is just dumb model algos. Haven't looked into packs/bundles since they don't seem to attract paper right now.

I've seen SR3 popping up here and there on ET but I'm not sure if this market is already a thing
More...

In the context of SR3/STIR what do you mean by a roll-down trade? Are you legging into short calendars?
 
trade_canada said:
In the context of SR3/STIR what do you mean by a roll-down trade? Are you legging into short calendars?
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kind of...green 3m calendars (short front/long back) as well as short 6m midcurve butterflies.

At first glance these seem to be the most stable spreads without too many jumps in this environment. Plus as time passes and rates don't change they should improve by dropping down the curve (climbing up the curve when you look at it from a rate perspective)

It's just what I used back then when I started out and it worked wuite well for me. There might be better options today though. Input is always appreciated
 
Let’s get a SOFR gang going. I’m mainly trading sofr3m now that I’ve lost access to my two sales coverage guys. Need to rethink the global macro toolkit with retail products. Any suggestions?
 
longandshort said:
Let’s get a SOFR gang going. I’m mainly trading sofr3m now that I’ve lost access to my two sales coverage guys. Need to rethink the global macro toolkit with retail products. Any suggestions?
More...

I use Koyfin plus tradingview when I really need charts. Other than that I found twitter (or X) the best source for news. https://piqsuite.com/ is on the list for testing since Elon is messing up the bird and I'm looking for at least a backup
 
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