HALISTER1: Bund Yields Poised to Test All-Time Lows in April: SocGen

Bund Yields Poised to Test All-Time Lows in April: SocGen

(Bloomberg) -- Pickup in ECB QE purchases, sharp negative net issuance in April of around -EU31b in Germany, and more generally, the prospect of a return of global risk aversion is likely to see 10Y bund yields test all-time lows, Societe Generale strategist Jamal Meliani writes in client note.
  • Buy June 2016 165.50/166.50 vs 158 put, net 8 ticks; stop on a close of RXM6 below 162.2
    • Delta of 20 at inception, theta positive and gamma negative
  • SG’s fair value of bund yields based on long-term model has dipped into negative territory for the first time ever
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

Tickers
2539Z GR (European Central Bank)

People
Jamal Meliani (Societe Generale SA)

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