5Year Swaps , FV & ED5YR
January 21,2003
FV vs 5 Year Swaps We Hold Short 5Yr Swap (SAZ2 Electronic) / Long FVZ2 (ZFZ2 - Electronic)
Cash 5 Year vs 5Year Swaps trade .46bp's (14/32's is approcimately 10bp's, ) Kidder's BPV $46 NJ vs $48 FV
SAH3 vs ZFH3 Hold short SAH3 (Electronic 5Yr Euro$) / long ZFH3 (FV Electronic) from .30 to .25bp's bp's. Expect this yield spread to converge toward cash swap spread. Look at 5yr . Go to Barchart Spreads (user optima pass optima ) and put in NJZ2 vs FVZ2 Yield spread. Basically nearby NJ vs FV has traded in a .37 to .52 bp range since 5Yr Swap futures started June 21st.
ED5Yr vs 5yr Sell ED5YR / Buy FV at .40 bp's with a .10bp objective. Hedge Ratios have FV = $49 vs ED = $25
Euro$ 5Yr vs ED5YR (SAED) Hold Long ED5YR / Short SAZ2 from -.06 to -.08bp's, See 5 day history ( 5yr ) with an objective to 0 Hedge Ratios have SA = $48 vs ED = $25 , so 5 EDBundles x 20 contracts = 100 ED = 52 SAZ2 To Execute: Watch the ED5Yr Bundle trade click MPAK1 Work 50 lot orders on SA vs the ED5yr Bundle flow.
Short Hedgers: We are short NJZ2 at 111-08 (Euro$ 5yr Swaps.) we have a buy stop above the 30min TRENDSPOTTER to protect profits
Daily TRENDSPOTTER on 5Year Swaps
Short Hedgers : We are short SAZ2 ( 5Year Euro$ )at 111-16, as we had a sell stop below the 30 minute Trendspotter
Options on SA started Nov 8th. (SAOP) There is no volumn.
Euro$ 10Yr vs Euro$ 5yr Buy SRZ2 (10yr Euro$) - Sell SAZ2 (5yr Euro$) at 1.00bp's . The Hedge Ratio says BPV of TY = $89 vs FV = $50.