策略师们称，投资者应卖出30年期收益率的3个月跨式期权来抓住这一走势，押注收益率无法突破当前区间。他们写道，这应当有助于抵消现有波动率多头头寸出现的任何损失。At a time when weaker-than-expected US economic data kept the yield curve in a narrow range, Goldman SachsAnd Morgan Stanley.Customers are advised to sell short-term Treasury volatility.
Global bond volatility fell sharply after Friday's weaker-than-expected US jobs report, and Wall Street strategists are now lining up to short summer volatility. The volatility of three-month 10-year swaps fell the most in 10 weeks, reaching its lowest level since mid-February, before the start of the US debt slump.
"in the absence of an obvious catalyst, the continued consolidation of yields means further downward pressure on volatility," Goldman Sachs strategists led by Praveen Korapaty wrote in a note to clients on Friday.
Strategists say investors should sell three-month straddle options with 30-year yields to take advantage of this trend, betting that yields will not break through the current range. 'This should help offset any losses on existing volatility long positions, 'they wrote.
The mixed jobs data cast a shadow over the economic outlook and look set to stop the Fed from announcing a reduction in size, so bond yields will continue to consolidate. Even before the non-farm payrolls data were released on Friday, the sell-off in volatility was already getting hotter.
Morgan Stanley also believes that volatility will remain low in the coming months and will not start to pick up until August.
"the baseline scenario is that volatility is flat to slightly lower in the short term, and our quantified fair value model of implied volatility supports this view," strategists David Harris and Kelcie Gerson wrote in a note to clients last week. "however, we do think that the FOMC meeting at the end of July is a risk event, when the Fed may discuss reducing stimulus in advance."
