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Defensive Put Condor in Nov Bunds
Bund Nov 175.50/174.50/173.50/172.50 Put Condor (65.4 days to expiry, -2.8% Delta), closed 17, Z-Score -2.70 This might be worth a look if you’re expecting some consolidation here, settled near year...
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Bund/Bobl Vol and Skew look interesting – Trade Idea
Nov Bund Straddle -2.39*Nov Bobl Straddle with 36 days to expiry Vol and Skew differences in Bobl & Bund Options currently offer potential interesting opportunities, especially if you have a view...
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More Bund/Bobl Vol Ideas to Explore – Trades Ideas
2*Nov Bobl 135.25/134.25 Put Spread- Nov Bund 174/173 Put Spread with 31.3 days to expiry Using our Performance tool on strategies can turn up some interesting results, and check payout/risk history,...
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Bund (RXZ) vs US 10-Year (TYZ) Put Vol – Trade Idea
RXZ 169 Puts vs TYZ 128 Puts with 14 days to expiry If you expect US-10 Year yield to hold here at 2% for the next 2-weeks , look to Sell the Dec 128 Puts and Buy the unsupported Dec Bund 169 Puts. It...
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Calendar Bobl Strangle Spread pricing near 3 year lows – Trade Idea
Bobl Mar 134.00/134.50 Strangle – Bobl Jan 134.00/134.50 Strangle with 92 & 29 days to expiry A low vol strategy for Bobls, the Mullet (short front, long back) seems to make some sense here....
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Bund, Bobl, 2-Year Midcurve Vol Fly – Trade Idea
Jan Bobl^-.203*Jan Bund^-3.25 (1.3)*2RZ^ with 23.3, 23.3 & 16.3 days to expiry, Z-Score -1.30, 10-Year Backtest Value 0.105, closed -0.056 last night Low Bobl Vol is creating some interesting...
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Bund, Bobl, Schatz, Mid-Curve Euribor Vol Condor – Trade Ideas
Feb Bobl 134^- 0.4*Feb Bund 172^-6.2 (2.48 Trade Size)*2RF 100.25^+ 3.1*Feb Shaz 112^ Condor with 29 & 43 days to expiry Jan0 Bund 172^-2.4*Jan0 Bobl 134^ Straddle spread with 7 days to expiry Feb...
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TY Vol vs Bund Vol – Cheap Or The New Normal?
When long end rates move together in response to a global macro event, their realised vols converge. Structural flows also tend to stop as participants hold off to see how things will unfold. It’s...
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