Halister News

(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