Thanks Rhody, I'm coming from an oil spread trading background but the oil spreads seem to be trading less every day, so this stuff is quite new to me. How do I work out the ratio between 2 yr and euros?
If you want no outright exposure to rates (which is what people doing spreads normally want), you should trade these on a DV01-weighted basis. In practice, if we take the current 2yr note contract, this would mean arnd 1750 lots of Eurodollars vs 1000 lots of Jun10 2yr notes (this is straight DV01). Whether you choose to use a single Eurodollar contract (and assume some curve risk) or a strip is up to you.