SOFR, So Good

[Trader13]

Anyone trading intermarket spreads against SOFR? With the demise of the Eurodollar contract, which market(s) would you spread against?

 

[maxinger]

SO FAR, SO GOOD.




spread with

ZT ZN ZB
GILT
BUXL
BUND
BOBL
BTP
JGB
currencies US$ vs ...
.....

 

[Repoguy]

ZQ
SR1

 

[mervyn]

ZQ
SR1

are these two the same? at least close enough.

i don't trade z shorter than 2 yr but still, shouldn't one month be farily stable under normal circumstance?

 

[Repoguy]

Yes

ZQ = Daily Fed Effective
SR1 = Daily SOFR Rate
At the moment setting @ 3bps spread. Also ZQ a bit better liquidity out the curve and ZQ a slightly larger sized contract

 

[CactusWren]

I'm looking to trade 3-month (SR3) vs 10yr (ZN) but need to calculate the spread ratio (https://www.cmegroup.com/trading/interest-rates/intercommodity-spread.html) any tips on doing that?

 

[2rosy]

I'm looking to trade 3-month (SR3) vs 10yr (ZN) but need to calculate the spread ratio (https://www.cmegroup.com/trading/interest-rates/intercommodity-spread.html) any tips on doing that?

DV01. i think cme provides basis point value.