Eurodollar Ratio Calendar Spread Trade Report
Based off of Thursday July 29, 2010 Settlement Prices.
The following contracts are more than 1.5 BP away from their mean reverting level.
| Ticker | Rich.Cheap | zscore | Hedge | Ratio | Interp | adjr2 | Training.Per |
|---|---|---|---|---|---|---|---|
| EDH1 | 0.037 | 0.962 | EDM1 | 0.789 | 21.057 | 0.959 | 65 |
| EDH5 | 0.024 | 3.365 | EDM5 | 1.025 | -2.3 | 1 | 65 |
| EDU4 | 0.024 | 3.12 | EDZ4 | 1.029 | -2.628 | 0.999 | 65 |
| EDM1 | 0.024 | 0.874 | EDU1 | 0.843 | 15.681 | 0.986 | 65 |
| EDZ4 | -0.023 | -3.084 | EDU4 | 0.971 | 2.6 | 0.999 | 65 |
| EDZ0 | 0.021 | 0.505 | EDU0 | 1.191 | -19.084 | 0.927 | 65 |
| EDH5 | 0.021 | 2.974 | EDM5 | 1.041 | -3.827 | 0.999 | 40 |
| EDM5 | 0.02 | 3.029 | EDU5 | 1.032 | -2.997 | 1 | 65 |
| EDH1 | -0.02 | -0.876 | EDZ0 | 1.103 | -10.325 | 0.978 | 40 |
| EDZ0 | -0.019 | -1.443 | EDU0 | 1.32 | -31.863 | 0.99 | 40 |
| EDH5 | -0.019 | -2.67 | EDZ4 | 0.955 | 4.169 | 0.998 | 32 |
| EDZ5 | 0.019 | 3.848 | EDH6 | 1.028 | -2.642 | 1 | 65 |
| EDU4 | 0.019 | 2.544 | EDZ4 | 1.043 | -3.973 | 0.999 | 32 |
| EDZ0 | -0.019 | -1.611 | EDU0 | 1.32 | -31.853 | 0.99 | 28 |
| EDU4 | 0.019 | 2.667 | EDZ4 | 1.045 | -4.209 | 0.999 | 40 |
| EDU4 | 0.019 | 2.357 | EDZ4 | 1.045 | -4.19 | 0.997 | 28 |
| EDH6 | -0.019 | -3.827 | EDZ5 | 0.972 | 2.595 | 1 | 65 |
| EDM6 | -0.019 | -2.611 | EDH6 | 0.981 | 1.711 | 0.999 | 65 |
| EDH5 | -0.019 | -2.445 | EDZ4 | 0.95 | 4.643 | 0.997 | 28 |
| EDU5 | 0.018 | 2.917 | EDZ5 | 1.027 | -2.498 | 1 | 65 |
| EDH6 | -0.018 | -3.135 | EDZ5 | 0.97 | 2.772 | 0.999 | 40 |
| EDZ4 | -0.018 | -2.491 | EDU4 | 0.957 | 3.94 | 0.999 | 32 |
| EDH6 | -0.018 | -2.8 | EDZ5 | 0.967 | 3.087 | 0.998 | 32 |
| EDZ4 | -0.018 | -2.623 | EDU4 | 0.956 | 4.108 | 0.999 | 40 |
| EDZ4 | -0.017 | -2.286 | EDU4 | 0.954 | 4.237 | 0.997 | 28 |
| EDH6 | -0.017 | -2.607 | EDZ5 | 0.959 | 3.828 | 0.997 | 28 |
| EDU0 | 0.017 | 1.622 | EDZ0 | 0.751 | 24.857 | 0.99 | 40 |
| EDM5 | 0.016 | 2.475 | EDU5 | 1.044 | -4.126 | 0.999 | 32 |
| EDM5 | 0.016 | 2.603 | EDU5 | 1.047 | -4.423 | 0.999 | 40 |
| EDM5 | 0.016 | 2.325 | EDU5 | 1.046 | -4.325 | 0.997 | 28 |
| EDU6 | 0.016 | 2.598 | EDZ6 | 1.015 | -1.392 | 0.999 | 65 |
| EDZ0 | -0.016 | -1.294 | EDU0 | 1.29 | -28.916 | 0.99 | 32 |
| EDM6 | -0.016 | -2.04 | EDH6 | 0.963 | 3.502 | 0.998 | 40 |
| EDU0 | 0.016 | 1.772 | EDZ0 | 0.751 | 24.867 | 0.99 | 28 |
| EDU5 | -0.015 | -2.434 | EDM5 | 0.956 | 4.084 | 0.999 | 32 |
| EDM6 | -0.015 | -1.814 | EDH6 | 0.956 | 4.137 | 0.997 | 32 |
| EDZ6 | 0.015 | 3.848 | EDH7 | 1.014 | -1.341 | 1 | 65 |
| EDH4 | 0.015 | 2.044 | EDM4 | 1.027 | -2.416 | 1 | 65 |
| EDU5 | 0.015 | 2.513 | EDZ5 | 1.043 | -3.983 | 0.999 | 40 |
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