Buy USD Vol Via 1m10y Straddles Ahead of NFP, Fed Minutes: Citi
Alert: HALISTER1
Source: BFW (Bloomberg First Word)
People
Jabaz Mathai (Citigroup Inc)
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UUID: 7947283
(Bloomberg) -- Long volatility recommendation based on options markets underpricing potential for move in rates ahead of FOMC minutes and payrolls next week, says Citi strategist Jabaz Mathai in note.
- The potential for shifts in rate path higher or lower for 2017 can move term structure, offsetting implied breakeven move in rates
- “Slight” potential for government shutdown on April 28 and associated “legislative uncertainty” could effect equities and push interest rates lower
- First round of French elections has also moved into 1- month timeframe
- Trade expressed by buying 1m10y straddles at 68bp, delta hedging on sharp moves away from strike
Alert: HALISTER1
Source: BFW (Bloomberg First Word)
People
Jabaz Mathai (Citigroup Inc)
To de-activate this alert, click here
To modify this alert, click here
UUID: 7947283