Rates

With July 4th next week and TY Vol (Aug) around recent highs, plus sitting close to 2% in 10y Note (generic) , we look at… Read More »Fading TY Vol into July 4th

If you’re expecting the market to consolidate or rally here, and you’re are keen to sell Vol, check out the EDX 81/78/76/73 Put Condor trading… Read More »Keen to sell Vol….

Spotted this trade going through is decent size yesterday evening at 3.5 in 25k, closed at 3.75. We flagged this trade to our followers soon… Read More »Trade highlight EDH 80/82/85 Call Fly

After yesterdays FOMC we saw a decent flattening of the skew curve. 25 Out Puts (98.25 Puts today) seemed to be the main benefactor of… Read More »More Christmas Trees

Have been noticing recently that a Call/Put Trees have been starting to run cheap, this is mainly down the emerging shape of the various contract… Read More »Cheap Christmas Trees

This seems to be an on going theme as the market has moved higher (price & Vol), with Eurodollars structures getting dislocated from historic averages… Read More »Eurodollar high Vol and Skew exposing some interesting value

Bunds and US 10 yrs (TY) yields seem to be in sync as German rates push negative, not sure what the trade is, but something… Read More »US 10 yr(TY) and Bunds in Sync

US 30-Yr has really lagged US 10-Yr vol since Feb and has recently hit 3 year highs on it’s vol spread. This week US 10-Yr… Read More »US 30-Year (USQ) vs US-10 Year(TYQ) Vol spread at 3-year extremes

Couple of trades caught our attention yesterday, one was the buying of 3-Year Midcurve vol versus Oct in Puts for a small credit, and the… Read More »#ThursdayThoughts in Eurodollars

Fireworks in US 2-Year Vol (TUQ), not seeing any real weakness into this calmer week, chart vs US 5-Year Vol (FVQ) here Trade added to… Read More »US 2-Yr (not responding to the calmer market) vs US 5-Yr