Trading SOFR Packs in Short-Term Interest Rate Strategies webinar archive
David Gibbs, Director of Education, reviews the pricing mechanics of the SR3 contracts as well as the pricing model for SR3 packs. David will also cover details of this important product and provide trading examples to demonstrate the value of using this product to manage your short-term interest rate risk.
This webinar covers:
- Quarterly contract listing of 3-Month SOFR (SR3) futures out 10 years, representing a forward curve
- Trading SR3 contracts as four consecutive quarterly contracts known as a “pack”
- Trading SR3 packs against each other to express views on the slope and shape of the SOFR forward curve
- Trading SR3 packs against other futures contracts like U.S. Treasuries and IRS contracts
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