Hello SpreadProfessor I would appreciate a comment on this thread. You seem to be the resident expert on all things rates. https://www.elitetrader.com/et/threads/us-treasury-to-issue-50-year-bond.337826/
https://www.cmegroup.com/education/articles-and-reports/trading-us-money-market-spreads-with-sofr.html
You’re mistaken about using such a radical duration difference between SR/GE as a substitute for convexity.
Thanks! Strange thing I noticed looking at SOFR/ED spreads on Reuters. The inter-contract spreads had the same expiries (Z/Z, H/H, etc). But SOFR is averaging a realised rate and ED is forward looking. Looking at the correlations for example Dec SOFR contract vs Sep ED is a touch higher than Z/Z or U/U. So that would make sense. So, if I am right, SR3U20/Z20 would correspond to GEM20/U20. Or am I somehow mistaken?
Hi Spreadprofessor, do you think it is too early to get one's feet wet spreading Eurodollars against SOFR? Volume is still thin but picking up. The 3 SOFR curve is kind of covered 1.5 years out but still looks thin. What are your thoughts?
with SOFR posting 17-18K in daily volume I think the time might be right... You will have to be VERY patient, wait for prime US trading hours and always, always execute the SOFR leg FIRST on both entry and exit.
Hi, Bone I would really appreciate a comment on my thread in the Index Futures Section. Some jerk tried to ruin the whole thing. You can just skip to my comments near the end if you don't have time to read the whole thing. http://www.elitetrader.com/et/threads/index-spread-traders.335197/
SuperMensch, I have not traded in the pits since the later 1990's. Pits dead. Electronic is where it is at - especially for spread trading.
