HALISTER1: Position for Hawkish Yellen With Markets ‘On Their Heels’: MKM

Position for Hawkish Yellen With Markets ‘On Their Heels’: MKM

(Bloomberg) -- TLT’s vol surface doesn’t appear to reflect that markets could get a jolt if Yellen gives a stronger signal in her speech tomorrow that at least one rate hike is likely in 2016, MKM derivatives strategist Jim Strugger writes in note.
  • TLT implied vol “near its floor” over the last 2 years, “which suggests markets are on their heels heading into tomorrow”
  • Buy TLT 30-Sept. $136.5 puts for $1.14, to position for a more hawkish outcome that pushes USTs lower along with TLT, while lifting its implied vol
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

Tickers
TLT US (iShares 20+ Year Treasury Bond ETF)

People
Jim Strugger (MKM Partners LLC)

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