各位好
最近在研究利率商品的券商報告
其中在trade volatility的組合不太理解
原文如下
1. Selling ATM 1y*10y payers against 1y*2y and 1y*30y payers, given the relati
ve richness of 1y*10y vols.
2. Recommend 3m*5y 1x2 receiver spreads as a way to benefit from low realized
vol, rich receivers, and the low probability of a large rally.
3. Recommend a 3m*5y-3m*30y ATM+25 bear-steepener to benefit from a large long
-end driven sell-off.
3可以理解但不知道為何要+25
1跟2不太懂這些組合怎麼利用到波動率多寡
煩請高手解惑
或是有任何關於swaption strategy的資料
非常感謝!
--
最近在研究利率商品的券商報告
其中在trade volatility的組合不太理解
原文如下
1. Selling ATM 1y*10y payers against 1y*2y and 1y*30y payers, given the relati
ve richness of 1y*10y vols.
2. Recommend 3m*5y 1x2 receiver spreads as a way to benefit from low realized
vol, rich receivers, and the low probability of a large rally.
3. Recommend a 3m*5y-3m*30y ATM+25 bear-steepener to benefit from a large long
-end driven sell-off.
3可以理解但不知道為何要+25
1跟2不太懂這些組合怎麼利用到波動率多寡
煩請高手解惑
或是有任何關於swaption strategy的資料
非常感謝!
--
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