10yr Swap| T | O | SN10 BUND| Bund yields |
EU#1 | T | O | EU1OP
EU#2 | T | O | EZ2OP
EU#3 | T | O | EZ3OP
EU#4 | T | O | EU4OP
EU#5 | T | O
EU#6 | T | O |
Short
Sterling
SS#1 |
T |
O
SS#2 |
T |
O
SS#3 |
T |
O
SS#4 |
T |
O
SS#5 |
T |
O
SS#6 |
T |
O
Euroswiss
ES#1 |
T |
O |
ES#2 |
T |
O |
ES#3 |
T |
O |
ES#4 |
T |
O |
ES#5 |
T |
O |
BundSchatz| CASH 10YR/2YR EURO cURVE TRADES 1.12BP'S | TRADE lONG Schatz/ SHORT BUND , as 10yr/2yr EURO is cheap to 10YR/2yr US |page GE3 | SEE page GE10
BOBL/Schatz | Trade long Schatz / short Bobl or long ED#5 / short ED#9 |GEYC| | SEE page GE5
Euribor #1/#3 Cash EU1EU5| EUSPR EU5EU9| GE1E Euribor FLY | ETFL2
Euribor 1YR Euribor Red GEEUW Euribor Green GEEUS Euribor 2Yr | GEEMP
EU1EU5
Euribor #1/#5 spreads have flatened to ?
Bloomberg's 2 year Euro/3mo Euro yield spread trades?
I will add the 2 year Euro/3mo Euro yield spread to |page GE1E |
Strategy: Euribor Spreads
Bund / Euribor 1YR EUBUND
Bund / Euribor Red| Cash Buy Euribor FRONT / sell BUND |page GE3B 100 Euribor vs 116 Schatz vs 56 Bobl vs 33 Bund |
Bobl / Euribor 1YR Bobl / Euribor Red/Green GE8A| GE5| CROSSRatios EUBOBL
Schatz/Euribor
Buy 25 Euribor Front 1y /116 sell Schatz at .45bp's, objective .20bp's |GE2pc
| CrossRates: has 100 Euribor vs 116 Schatz |
Margin:
GE2y|
Schatz / Euribor #1 VS
Cash 2Year/3mo Euro |GE2YA|
GE2Y |
EURO 10Yr vs Euro$ 10yr Swap
EURO 5Yr vs Euro$ 5yr Swap
EURO 2Yr vs Euro$ 2yrSwap
SNBUND
Time to exit Long TY/ short Bunds or short Euro Swaps
Hedge Ratio: 100 EURO SN10 vs ?TY
SWAP Curve/BUND Curve
Euro Swap 10yr/2yr trades 1.01, Bund/Schatz 6% futures curve .89?
Hedge Ratio:
EURO Swaps vs Euro$
Buy EURO SN2 / short Euro$ 1 Year Pack above +1.75bp's
or or Buy Schatz (DLM2) /
sell vs Euro$ 1yr above 1.70bp's
EURO SN5 vs Euro$
EURO SN5 TradeS - .55BP'S TO ED5YR bUNDLE
...ONE DAY ELECTRONIC?
Hedge Ratio: 100 EURO SN vs ED
EURO SN2 vs Euribor
SNUS
| UKDM1| EUSS | LFLY Euribor / Euroswiss
DMSF| DMSF1| DMSF2| DMSF3| DMSF4| CrossRatios Strategy: EuroSwiss Spreads
Initial Margin for TY is $1500, For Bund $1500 ..Check if CBT/Eurex has Span margin offset. hedge Ratios 10TY vs 10.3 Bund Check?
EURO 10YR/2YR vs US 10YR/2YR Sell US 10YR/2YR / BUY EURO 10YR/2YR between .90 and 1.00 spread differential|Page GE12E
Schatz Squeeze| makes me want to SELL TU / Buy Schatz at + .60bp's, especially since TY is a sale and we have $26BB new 2 Years coming
Schatz/TU | In April , we recommended Buy 20 TU / SELL 48 Schatz at .45 to .46bp's | Span Margin 1 side of trade ? 100 TU vs 238 Schatz | Margin:
Sell Euro$ / Buy EURIBOR Volatility Sell 100 EDZ ATM straddles / buy 100 Dec2 Euribor ATM straddles at 20 vol spread. The hedge ratio is based on the EC futures trading 100 |page GE4C
ED$/Euribor Sell Dec2 Euro$ / Buy Dec2 Euribor at 1.55 to 1.60 | page GE4E
Take profits at .80 on Short EDU2/Long EDU3/ Long Sept2 Euribor/short Sept3 Euribor from 1.30 to 1.35 spread differential | page GE4E
BUNDEURO$| The Bund/Euro$ 1Yr has steepened to 2.30...will it reach the 2.60 resistance level |page GE12D
Strategy : ED$/SS|