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 | ZTH6 / TUH6 | YITH26 | 19.33 | 100 ZTH6 x 177 YITH26 |
5-year | ZFH6 / FVH6 | YIWH26 | 45.59 | 100 ZFH6 x 91 YIWH26 |
7-year | ZNH6 / TYH6 | YIBH26 | 61.68 | 100 ZNH6 x 105 YIBH26 |
10-year | TNH6 / UXYH6 | YIYH26 | 83.19 | 100 TNH6 x 107 YIYH26 |
Last updated Dec 30, 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.
