Following the Fed meeting, both rates and volatility have moved lower. This has has benefited our recommendations to be short gamma vol. We now recommend booking profit on the following positions.
Close short 6M5Y (ATM +25bp) EUR payer. Opened 9 Sep @ 72 ticks. Closed @ 43 ticks. 40% of the premium has been gained.
Close short 6M10Y (ATM) USD straddle. Opened 28 Jun @ 510 ticks. Closed @ 362 ticks. 29% of the premium has been gained.
This leaves us with recommendations open for a flatter US money market curve, spread tightening in 5y5y USD-EUR swaps and curve steepening in EUR (15y15y vs 2y2y). We keep these recommendations open as we believe they continue to offer potential over the coming months.
To Read the Entire Report Please Click on the pdf File Below.
Close short 6M5Y (ATM +25bp) EUR payer. Opened 9 Sep @ 72 ticks. Closed @ 43 ticks. 40% of the premium has been gained.
Close short 6M10Y (ATM) USD straddle. Opened 28 Jun @ 510 ticks. Closed @ 362 ticks. 29% of the premium has been gained.
This leaves us with recommendations open for a flatter US money market curve, spread tightening in 5y5y USD-EUR swaps and curve steepening in EUR (15y15y vs 2y2y). We keep these recommendations open as we believe they continue to offer potential over the coming months.
To Read the Entire Report Please Click on the pdf File Below.