Big 10Y Options Strangle
Well Not Really!
From Bloomberg:
Obviously when trades like this go thru we have to take them in the aggregated because who knows what “other” positions the investor/trader has on. Anyway I wouldn’t necessarily call this a “short vol” trade because the 10Y has been locked in this range for months anyway.
In fact given the 10Y basis market and looking at this trade from the futures point of view and using the parameters of the yields outlined of 0.65% and 1.00% this implies a general parallel yield curve shift would denote the December 10Yr Futures parameter of around 137-25 to 141-00. These are not solid posts, but general ranges because the yield curve will dictate the spread between the futures and the cash markets and that is more of an advanced adult swim and not pertinent to this blog.
We have traded this fixed income arb for 2 decades and would look at this $21.5 mln bet as a small trade given the size and likes of lets say a Brevan Howard…this is nothing, but it gives Bloomberg, Zhedge something to talk about, now if it was a $2.15Bln dollar bet, now that would be a talking point!
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