News

Hunt for Gamma Risk Premiums in Eur Rates

The EUR short rates gamma risk premium is likely to start depreciating vs longer expiries early next week unless the French elections disappoint.

Buying collars at the EUR front end remains a cheap way to position for higher EUR rates.

The roll down cost is limited compared with outright front-end paying, and the vega profile increases the trade’s appeal.

Buy EUR 2m5y ATMF payers, sell 3w5y ATMF payers – for 2.7bp running (indicative mid). Indicative forwards: 3w5y: 0.173%, 2m5y: 0.195%.

Buy EUR 6m2y ATMF+10bp payers, sell EUR 6m2y ATMF-10bp payers – for 1bp running (indicative mid). Indicative 6m2y forward: -0.066%, 2y spot: -0.147%. Maintain or initiate longs in EUR 1x2 caps vs 1y1y payers.

Recommend: Forex News
 
China Apr Nbs Non-Mfg Pmi* Decrease to 54.0 Vs Prev 55.10
2017-04-30 01:00:00 UTC+00 4 hours, 8 min. ago  
Views today: 689 
China Apr Nbs Manufacturing Pmi* Decrease to 51.2 (fcast 51.6 )...
2017-04-30 01:00:00 UTC+00 4 hours, 8 min. ago  
Views today: 673 

Support and resistance levels

EUR/USD
GBP/USD
USD/JPY
GBP/JPY
EUR/CHF
AUD/USD
Apr 30 at 5:08 UTC