HALISTER1: EUR Rates Volatility May Steepen on Negative Gamma Carry: Charts

EUR Rates Volatility May Steepen on Negative Gamma Carry: Charts

(Bloomberg) -- EUR rates vol curve at risk of steepening, with short gamma positions suffering negative carry ahead of increased EGB supply in Sept. and expectations of potential adjustments to ECB QE policy to reduce bund-scarcity premium, Bloomberg strategist Tanvir Sandhu writes.
  • With EUR 3m10y implied vol at 3.18bp/day, near lows seen prior to bund VaR shock in April 2015, risk-reward has diminished for short gamma positions with delivereds set to increase; see chart here
  • EUR vol curve could steepen in the event of bear steepening in rates in early Sept.
  • See regression analysis here of EUR 3m10y-3m2y implied vol spread vs EUR 2s10s swap curve; R^2 at 0.63, y=30.6x+12;
  • NOTE: Tanvir Sandhu is an interest-rate and derivatives strategist who writes for Bloomberg. The observations he makes are his own and are not intended as investment advice.
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

Tickers
2539Z GR (European Central Bank)

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UUID: 7947283

HALISTER1: U.K. 2/10 Curve Gathering Steepening Momentum, May Test 51bps

U.K. 2/10 Curve Gathering Steepening Momentum, May Test 51bps

(Bloomberg) -- U.K. 2s10s curve move toward its 21-DMA at 51bps after Friday’s bear steepening triggered a break of the trailing trender line at 44bps, Bloomberg technical analyst Sejul Gokal writes.
  • See chart
  • Bloomberg Trender line (sensitivity 1) broken on Friday, signaling an end to the flattening trade from late June (~76bps when trender turned negative)
    • New trailing trender line (support) activated below price at 39bps
  • MACD crossing higher today from extreme lows
  • Additional steepening resistance 56bps and 61bps (Fibonacci’s)
  • NOTE: Aug. 10, Gilts 2s10s Narrowing Phase May Abate Near 34-29BPs Area
  • NOTE: Sejul Gokal is a technical strategist who writes for Bloomberg. The observations he makes are his own and are not intended as investment advice.
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

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UUID: 7947283

HALISTER: Pfizer to Buy Medivation for $81.50/Share in Cash

Pfizer to Buy Medivation for $81.50/Share in Cash

(Bloomberg) -- Total enterprise value ~$14b.
  • PFE sees deal 5c accretive to earnings in first year after closing
  • Sees closing in 3Q or 4Q
  • Does not see deal affecting 2016 results
Statement Link
Alert: HALISTER
Source: BFW (Bloomberg First Word)

Tickers
PFE US (Pfizer Inc)
MDVN US (Medivation Inc)

Topics
BGOV Health Care

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UUID: 7947283

HALISTER: Valeant Names Paul S. Herendeen as CFO

Valeant Names Paul S. Herendeen as CFO

(Bloomberg) -- Herendeen takes over CFO role, effective immediately, from Robert L. Rosiello.
  • Herendeen most recently CFO of Zoetis; also served at Warner Chilcott and MedPointe
Statement:Link
Alert: HALISTER
Source: BFW (Bloomberg First Word)

Tickers
VRX CN (Valeant Pharmaceuticals International Inc)
ZTS US (Zoetis Inc)

People
Paul Herendeen (Zoetis Inc)
Robert Rosiello (Valeant Pharmaceuticals International Inc)

Topics
Who's News - People
Management Changes

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UUID: 7947283