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Fundamentals Many Do Not Track

  • Writer: Pete
    Pete
  • Oct 6, 2020
  • 1 min read

EFP data shows Treasury basis is alive and well


  • EFPs (Exchange for Physical) are an efficient transaction type for spreading futures vs. cash and a fair proxy for measuring Treasury basis activity.

  • While off the Q1 highs, the % of Treasury futures traded via EFP remains above historical levels.

  • EFP activity has shifted notably out the curve with long-end contracts (TN, ZB, UB) accounting for 37% of EFP volume in Q3, up from 30% in Q1 and 22% in Q3 2019.

  • When adjusted by DV01 risk transfer, Treasury EFP volume is up 11% vs. 2019's record levels.

Source: CME Group


 
 
 

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©2023 BY QUANT TRADE, LLC. QUANT TRADE, LLC IS NOT RESPONSIBLE FOR CLIENT OR SUBSCRIBER LOSSES. TRADING FUTURES, STOCKS, FOREX AND OPTIONS INVOLVES THE RISK OF LOSS. YOU SHOULD CONSIDER CAREFULLY WHETHER FUTURES, STOCKS, FOREX AND OPTIONS ARE APPROPRIATE TO YOUR FINANCIAL SITUATION. YOU MUST REVIEW THE CUSTOMER ACCOUNT AGREEMENT AND RISK DISCLOSURE PRIOR TO ESTABLISHING AN ACCOUNT. ONLY RISK CAPITAL SHOULD BE USED WHEN TRADING FUTURES, STOCKS, FOREX AND OPTIONS. INVESTORS CAN LOSE MORE THAN THEIR INITIAL INVESTMENT. PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS IN TRADING FUTURES OR OPTIONS CAN BE SUBSTANTIAL, CAREFULLY CONSIDER THE INHERENT RISKS OF SUCH AN INVESTMENT IN LIGHT OF YOUR FINANCIAL CONDITION. INFORMATION CONTAINED, VIEWED, SENT OR ATTACHED IS CONSIDERED A SOLICITATION.

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