SOFR, So Good

Anyone trading intermarket spreads against SOFR? With the demise of the Eurodollar contract, which market(s) would you spread against?

 

SO FAR, SO GOOD.




spread with

ZT ZN ZB
GILT
BUXL
BUND
BOBL
BTP
JGB
currencies US$ vs ...
.....

 

ZQ
SR1

 

are these two the same? at least close enough.

i don't trade z shorter than 2 yr but still, shouldn't one month be farily stable under normal circumstance?

 

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 slightly larger sized contract

 

I'm looking to trade 3-month (SR3) vs 10yr (ZN) but need to calculate the spread ratio (https://www.cmegroup.com/trading/interest-rates/intercommodity-spread.html) any tips on doing that?

 

DV01. i think cme provides basis point value.