why does a 12m eurodollar fly move with teh swap spread

Discussion in 'Financial Futures' started by Jonathan Weissberg, Sep 17, 2019.

  1. assuming no moves in credit, have a look at:
    -(ED?1 - 2* ED?5 + ED?9) to 2*ED?5-TUA

    just trying to get my head around this, latter part is the swap spread - can someone please explain to me why these two are moving together, what exactly is the 12m fly representing?
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  2. also for anyone interested in studying spreads/market relationships with me, hit me up...
  3. minmike


    I assume tua is 2 year swap? Read up on eurodollars. The two year swap acts like a strip of eurodollars.
  4. tua is 2 year note
  5. minmike


    So ed1 is beginning of 2 year period. Ed9 is the end of two year period. 2 year swap is strip over that period.
  6. sorry but i'm not really following this... what about the ed?5 turning it into a fly... just confused how u take these different parts, which gets you the 12m fly, and its following the movement of swap vs. gov bond