https://www.zerohedge.com/markets/your-short-has-been-rejected-massive-stock-lending-firm-processing-over-2tn-transactions ICBC was hacked in...
Front month TYZ3 Micro YQTV23
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...
CQG ? Has nice spreading abilities across assets
ZQ SR1
That would be the normal conservative approach... Schwab Bank extended out the yield curve and purchased long duration Treasuries. Now these...
I would also look at 17 week TB (4 Month). They are the cheapest TB on the curve consistently.
I say good riddance ! I was always on the wrong side. Lol But I will say SOFR is much more in my wheelhouse.
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...
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.
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