November 18,2002
Options on SR started Nov 8th. (SAOP) There's 4000 open interest in a week.
Quote, Vol, Open Interest Sris, Can you get this info on one easy to Read Realtime Page, with Realtime Volatilities vs TY Volatilities
SRTY Spreads option spreads What are NI implied vols vs TY vols . TY expires this week. NI expires Dec 15th.
Need to create NI vs E0 Yield spread and Vol spread charts, which expire the same day.
CBT 10yr Swaps vs TY Hold short SRZ2 / long TYZ2 from .27 to .23 bp's.
My objective is to .35bp's. The Cash 10yr Swap - 10yr trades .50bp's.
Kidder's Ratios Short 88 SR vs long 86 TY Each BP is worth 2.5/32's.
At Sept delivery, the NIU2 vs TYU2 expired at .29bp's , with Cash 10yr Swaps at 4.42 and 10 year traded 3.87, so the cash Swap spread was .55.
Go to Barchart Spreads and put in NIZ2 vs TYZ2 Yield or price spread.
Cash 10 Year vs SR (Swaps) Buy Cash 10 Year Treasury / SELL SRZ2 Euro$ 10yr Swap at .52bp's. Kidder's Ratios : 10mm 10yr vs 97 SR.
Short Hedgers: We are short SRZ2 at 112-26 (Euro$ 10yr Swaps.) as we put a sell stop below the 30min TRENDSPOTTER Daily TRENDSPOTTER on 10Year Swaps