5 Trades to watch this week
US 2-Yr Bonds (TU) vs 2-Yr Midcurve Eurodollars (2E) or US 5-Yrs (FV) A trade we highlighted recently (US 2-Yr Vol strength) continues to outperform… Read More »5 Trades to watch this week
Rates
Skew move helping cheapen FVU Put Flys
Seems the US Bonds are also seeing some skew moves that are also creating some areas of value that will be worth keeping an eye… Read More »Skew move helping cheapen FVU Put Flys
Huge overnight shift in Eurodollar Skew
The initial skew move we flagged a couple days ago seems to have really gained momentum with a huge shift yesterday possibly suggesting the current… Read More »Huge overnight shift in Eurodollar Skew
Seeing value in a few Eurodollar Put Strategies
Last week we flagged call strategies that were running cheap, finally yesterday we started to see a small shift in the skew in a few… Read More »Seeing value in a few Eurodollar Put Strategies
Euro Stoxx 50 Banks index and Bunds
The high correlation between Euro Stoxx 50 Banks index and Bunds should provide some interesting pointers this week as ECB unveils TLTRO 3. Using the… Read More »Euro Stoxx 50 Banks index and Bunds
Eurodollars 1-Yr Midcurve outpacing 2-Yr Midcurve Vol
This is a recent phenomenon that we flagged a couple of weeks ago that looks out of sync with realized vol and contract spreads. As… Read More »Eurodollars 1-Yr Midcurve outpacing 2-Yr Midcurve Vol
US 2-Yr(TU) Vol spike
If you’re following the US Bond complex you will have seen the recent spike in US-Year 2-Yr Bond Vol relative to the other contracts. Checking… Read More »US 2-Yr(TU) Vol spike
March Eurodollar skew making for cheap Call Flys and Condors
Heavy skew in March Eurodollars, the EDH 50 wide Risk Reversal is priced at a record -0.06. Scanning the system this morning you can see… Read More »March Eurodollar skew making for cheap Call Flys and Condors
US Long Bond(USQ) Vol v US 5-Years(FVQ)
US Long Bond Vol has been really under performing recently versus 10-Years (TY), 5-Years(FV) and 2-Years(TU). Check the Z-Score for the last year here. Looking… Read More »US Long Bond(USQ) Vol v US 5-Years(FVQ)
Eurodollar 2-Year Midcurve v 1-Year Midcurve Vols (Sept)
1-year midcurve vols have been trading close to or slightly above 2-year midcurve since late March, something that we have no previous record of (our… Read More »Eurodollar 2-Year Midcurve v 1-Year Midcurve Vols (Sept)