Is the 2 year note tradeable against eurodollar

TICKNICKER

Newbie
4 0
I've been trading Schatz against Euribor and am looking for an afternoon/evening trade as well. I'm thinking 2 year notes against eurodollars? Anyone trade this spread?
 

Rhody Trader

Senior member
2,620 265
nah no one has ever invented the t-ed spread ever

TED is technically T-Bills vs. Eurodollars.

I'm sure plenty of folks do 2s vs. Euros, but the fact that you're talking a coupon security vs. a discount security means it's not a clean as TED or something like 2s/10s.
 

TICKNICKER

Newbie
4 0
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?
 

Rhody Trader

Senior member
2,620 265
Well, on a strict notional basis the 2yr Note contract is $100,000 while the Eurodollar is $1,000,000.
 

Martinghoul

Senior member
2,690 276
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.
 
 
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