Wednesday, 23 September, 2020
generic spread between NOV DEC TY BP VOL SPRD and NOV DEC BUND VOL SPRD
Worth Having a look at {97<GO>}
The attached chart shows the generic spread between NOV DEC TY BP VOL SPRD and NOV DEC BUND VOL SPRD over the last 5 years.
Whilst both have widened over the last month TY has continues to outperform over the week with the spread at multi year highs.
The risk events are all loaded in the December expiry (US election/ Fed) with no ECB in November the spread is looking stretched.
If you prefer to look at BUND only then we’d look to buy DEC VOL if implieds ease back closer to realised. The current ratio of Implied vol to 20d realised is circa 1.15 which is at the upper end of the recent range.
RXZ0 straddle is running 256 mid, we have expiry this week, and we tend to see strangle sellers running into reload in the next expiry (NOV) so we might get some outright cheapening of RXZ0 strads
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