With the conversation of euros to sofr it's the new 3 month stir of choice for hedging or outright exposure.
How about bidding noncomp in Treasury Bill auctions with your broker ? So the securities stay in your account.
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...
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...
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...
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...
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...
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...
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...
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...
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,...
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...
Yes + Exchange data feeds
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