Risks Skewed to EUR Long-End Steepening, 10s30s Vol Cheap: SG
Source: BFW (Bloomberg First Word)
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Adam Kurpiel (Societe Generale SA)
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UUID: 7947283
(Bloomberg) -- Risks are skewed toward EUR long-end steepening, and the potential contrasts with historically cheap EUR 10s30s spread vol, Societe Generale strategist Adam Kurpiel writes in client note.
Alert: HALISTER1- Long-end curve vol is low even compared to short-rates swaption volatility, with the latter set to remain depressed as the market further prices out ECB rate cut expectations
- ECB inaction or signs that changing PSPP rules may relieve the pressure at the long-end are likely to exert temporary steepening pressure
- Buy EUR 300m 4m expiry single-look ATM cap on EUR 10s30s CMS spread vs sell EUR 148.4m 4m2y ATMF receivers
- Alternatively, buy EUR 300m 4m expiry single-look EUR 10s30s CMS spread straddles vs sell EUR 148.4m 4m2y straddles
Source: BFW (Bloomberg First Word)
People
Adam Kurpiel (Societe Generale SA)
To de-activate this alert, click here
UUID: 7947283