Buy Receiver Spreads in EUR 10Y Tail on Vol Cheapness: SocGen
Source: BFW (Bloomberg First Word)
People
Adam Kurpiel (Societe Generale SA)
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UUID: 7947283
(Bloomberg) -- Set-up conditional EUR trades at attractive prices as low-for-long and secular stagnation themes continue to gain credence, contributing to low expected rates volatility, Societe Generale strategist Adam Kurpiel writes in client note.
Alert: HALISTER1- Buy EUR 3m10y ATMF/ATMF-17bp receiver spread
- 17bp spread corresponds to 1.5x the range volatility of the EUR 10y rate (11bp/3-mo.)
- With premium below 7bp running (indicative), EUR 10y swap rate needs to decrease by less than 3bp for the strategy to breakeven
- Better leverage than simple receivers unless bund 10y yield goes deeply negative
Source: BFW (Bloomberg First Word)
People
Adam Kurpiel (Societe Generale SA)
To de-activate this alert, click here
UUID: 7947283