TY Low-Delta Calls Richen Into Hurricane, N. Korea Weekend Risks
Alert: HALISTER1
Source: BFW (Bloomberg First Word)
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UUID: 7947283
(Bloomberg) -- Call options on Treasury futures extend richening and remain above puts into weekend risks related to Hurricane Irma and North Korea Founding Day.
- TY October calls (expiring two days after September Fed meeting) have remained bid amid UST short squeeze with U.S. rate hikes being effectively priced out this year; see chart here
- Straddle on 10-year swap rates with Monday expiry has breakeven of about 4.5bp vs 2.5bp on non-event risk days
- Pessimism is increasingly becoming stretched with the flatness of the Eurodollar curve pricing in the end of the business cycle; see chart here of ED2-ED8
- NOTE: See analysis here from June 14 indicating lower summer yields: Fed, skew and inflation cross- currents see lower summer yields
- 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)
To de-activate this alert, click here
To modify this alert, click here
UUID: 7947283