Eris Order Books Display Resiliency During Volatile Markets
One common test of a developing market is the ability to continue to transact smoothly during times of stress, and we are pleased to highlight that Eris Swap Futures markets performed well through the spike in market volatility that occurred during the February VIX squeeze. Eris order book markets maintained their average tradable size, while we saw a 40%+ jump in trade count and more than a doubling of traded volume.
Eris 5Y Liquidity During Feb 2-6 VIX Event
Eris order books demonstrated remarkable resiliency over the Feb 2-6 period, when volatility spiked across most financial markets
  • In the worst of the VIX short squeeze on Feb 5, Eris markets briefly widened to over 1.2bps from bid to ask, but quickly reverted to normal
  • Order book size was not significantly impacted on Feb 5-6, while volumes were higher than average
Increasing Activity in Off-The-Run
Eris Trading
Volume & Trade Count in Aged Eris Contracts
Elevated activity of non-streaming & aged contracts
  • Eris 15Y traded for the first time in Feb: $100mm notional in $25mm increments via electronic Request for Market (RFM)
  • The Eris 15Y order book bid/ask tightened following the initial RFM
  • Another $500k DV01 of Eris 15Y traded in mid Mar
  • Off-The-Run Eris volume and trade count have more than doubled vs Q1 2017
Learn More >> Trading Update
Applications for Eris Swap Futures
Manage Spread Risk with Eris Swap Futures
The recent rise in spreads between UST yields and swap yields has underscored the importance of hedging with instruments that incorporate a spread component.

For those hedging investment grade credit, agency MBS, CMBS, and other non-govt products, Eris Swap Futures makes trading swap risk easier and risk management more efficient.

Trading Seasoned, Off-The-Run Eris Contracts
Many Eris users do not roll their positions quarterly, preferring the practical mechanics of holding the position so that it may age with offsetting business exposures. But this doesn’t undermine liquidity in their Eris position. Seasoned Off-The-Run Eris contracts can be traded via anonymous RFM, and we find that when these users seek live order book markets through RFM, to either add or reduce their position, executions are observed approximately 0.2bps from mid, similar to front contract markets.

Tools and Analytics
Receive Spot Starting Swap Data
for Eris on Bloomberg
In addition to supporting functionality of listed Eris contracts, Bloomberg now also provides spot-starting swap rate data based on the Live Eris Swap Curve, allowing a direct comparison to vanilla OTC interest rate swaps.

The Live Eris Swap Curve may be used instead of OTC swap rates by changing your default swap price source to “ERIS”.

Learn More >> Eris on Bloomberg
Market Monitor Report Web Version Available
Users may now access the Eris Daily Market Monitor Report on the web to stay informed of daily movements in rates, curve and spreads.

The report is also distributed daily via email providing a summary of the previous day's closes and relationships to US Treasuries and MBS.

Report >> ftp://ftp.erisfutures.com/ErisDailyReport.pdf
Eris in the Media
Options Insider Interviews Eris Exchange
In this episode of the Options Insider Radio, Eris's Geoff Sharp discusses the benefits of Eris Exchange, growth in open interest, the widening Eris ecosystem, and how recent volatility impacted trading.

Listen Now >> Options Insider Podcast
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