Why the ratio for 2/10 curve trade is 3:1 on the CME website rather than >4:1?

Discussion in 'Financial Futures' started by Cyrix, Feb 9, 2011.

  1. Cyrix

    Cyrix

  2. The current CTD for the 10y is the Novie 17s, hence the ratio.
     
  3. bone

    bone ET Sponsor

    All of the shorter duration futures hedge ratios tend to change more severely as the CTD changes. Eurex Schatz a great case in point.
     
  4. Cyrix

    Cyrix

    Thanks for your answers.

    Where can I find the appropriate hedge ratios for later contracts for example the June 10yr vs June 2yr contract (or where I can find the CTD for these contracts? I can calculate the ratios)?

    I want to get into a 2/10 flattener trade but the March contracts are about to expire. I want to use the June futures so that I don't need to roll that often.
     
  5. bone

    bone ET Sponsor

    http://www.cmegroup.com/trading/interest-rates/intercommodity-spread.html

    They have not published June 2011 yet.

    Know anybody with a Bloomberg?

    Google "calculate interest rate DV01"

    it is a long, technical answer that doesn't lend itself well to a brief ET response.

    Martin Ghoul is a very smart guy in the rates - maybe he has the energy and motivation to respond in 500 words or less, because the topic deserves a detailed explanation.
     
  6. Hahaha, thanks for kind words, bone...

    Cyrix, currently the CTDs for Jun contracts are: 2.5% Mar13 for the 2y and 3.5% Feb18. This gives me an approx ratio of 1610 2y contracts per 1000 10y contracts.
     
  7. Cyrix

    Cyrix

    Where did you find the June CTD information? Are there any public sources other than Bloomberg?
     
  8. bone

    bone ET Sponsor

  9. Cyrix

    Cyrix

    Thanks, but these four links don't seem to contain Martin's

    "currently the CTDs for Jun contracts are: 2.5% Mar13 for the 2y and 3.5% Feb18".

    Maybe I need to go deeper into the other links on the website?
    Please advise.
     
  10. bone

    bone ET Sponsor

    Eurex and CBOT publish the current CTD's on their website, in addition to OffTR issue conversion factors.
     
    #10     Feb 11, 2011