HALISTER1: Sell Payer, Buy Receiver as EUR Rates Correction End Near: BNP

Sell Payer, Buy Receiver as EUR Rates Correction End Near: BNP

(Bloomberg) -- EUR rates gamma implied vols are now back to more attractive levels vs realized, especially in longer tenors, BNP Paribas strategist Camille de Courcel writes in client note.
  • Recommends selling a 0.83% (14bp OTM) 3m10y payer and simultaneously buying a 0.57% (12bp OTM) 3m10y receiver at zero cost
  • Upward correction in rates is close to an end; BNP expects increase in yields to be capped in mid-0.30% area on the 10y bund yield
    • Market positioning, economic and supply-demand backdrop, steepness of the curve and level of real yields suggest that potential for a further sell-off in core markets is limited
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

People
Camille De Courcel (BNP Paribas SA)

To de-activate this alert, click here

UUID: 7947283