Hedge Ratios – Eris SOFR vs. CME Treasury Futures
Below are indicative hedge ratios for delta neutral contract amounts of Eris SOFR Swap Futures and CME Treasury Futures, based on subjective measures of the DV01. Eris SOFR DV01 data is sourced from Eris Innovations’ swap pricing engine.
Hedge Ratios
Tenor | CME Treasury Future | Eris SOFR | Eris SOFR DV01 | Delta Neutral |
|---|---|---|---|---|
2-year | ZTU5 / TUU5 | YITU25 | 19.12 | 100 ZTU5 x 177 YITU25 |
5-year | ZFU5 / FVU5 | YIWU25 | 45.51 | 100 ZFU5 x 91 YIWU25 |
7-year | ZNU5 / TYU5 | YIBU25 | 61.14 | 100 ZNU5 x 105 YIBU25 |
10-year | TNU5 / UXYU5 | YIYU25 | 81.64 | 100 TNU5 x 105 YIYU25 |
Last updated June 23, 2025
Disclaimer: Eris Innovations provides these values for information purposes only. They are provided 'as is,' and Eris Innovations makes no claims about the suitability of such values for trading or risk management purposes.
