Is the 2 year note tradeable against eurodollar

[TICKNICKER]

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?

 

[arabianights]

nah no one has ever invented the t-ed spread ever

 

[Rhody Trader]

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]

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]

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

 

[Martinghoul]

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.

 

[TICKNICKER]

Thanks Martinghoul that's very helpful.