Trump Rhetoric Stirs Bund Call Skew Higher as Futures Advance
Alert: HALISTER1
Source: BFW (Bloomberg First Word)
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UUID: 7947283
(Bloomberg) -- Bund call skew picks up as risk markets start to crack after Trump steps up North Korea rhetoric.
- See bund skew chart here with Sept. 25-delta call vol edging higher by 0.5 to 4.04 with generic yield probing 0.44% (July extension, chart here)
- Beyond geopolitical risks, there are limited fundamental catalysts for further rally between now and Jackson Hole with a lack of macro data and ECB speakers
- Seasonal decline of QE purchases in August due to reduced liquidity as summer EGB supply dries up may marginally counter duration in the near term, given the front-loading in Jan.-July
- Second half of August will see focus on the return of supply in Sept. and the next major event risks (Jackson Hole on Aug. 24-26 and ECB meeting on Sept. 7), which may see downside bund skew richen
- NOTE: Positive carry trades in vogue throughout August, with peripherals favored, while hedging via swap spreads may increase as consensus builds; see more here
- NOTE: Tanvir Sandhu is an interest-rate and derivatives strategist who writes for Bloomberg. The observations he makes are his own and are not intended as investment advice
Alert: HALISTER1
Source: BFW (Bloomberg First Word)
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To modify this alert, click here
UUID: 7947283