Today's CME Globex Notice included an incorrect Leg Quantity Ratio. The updated notice is now available:
Listing Treasury vs. Eris Futures Implied Intercommodity Spreads
† Denotes update to the article
Effective Sunday, October 22 (trade date Monday, October 23), the following Treasury vs. Eris futures Implied Intercommodity spreads will be listed on CME Globex.
| Listing Treasury vs. Eris Futures Implied Intercommodity Spreads | |||||
|---|---|---|---|---|---|
| Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Tag 762- SecuritySubType |
Tag 5770-PriceRatio | Leg Quantity Ratio |
| 5-Year T-Note Futures (ZF) - 5-Year Eris SOFR Swap Futures (YIW) | EWF | IV | IV - Implied Treasury Intercommodity Spread | 1.000000000 | †1:1 |
| 10-Year T-Note Futures (ZN) – 7-Year Eris SOFR Swap Futures (YIB) | EBN | IV | 1.000000000 | †1:1 | |
| Ultra 10-Year T-Note Futures (TN) - 10-Year Eris SOFR Swap Futures (YIY) | EYN | IV | 1.000000000 | †1:1 | |
These spreads will be available for customer testing in New Release on Monday, September 18.
These contracts are listed with, and subject to, the rules and regulations of CBOT.
