My bullish equity thesis from last week was based on my view that the gilt bond market meltdown would resolve itself - that there would be a policy U-turn that would bring stability back to the market and alleviate the forced selling of risk assets and gilts by UK pension funds.
I think 2/30 or 5/30 steepeners will perform well. They had a massive move yesterday on the Timiraos article. Should have more to run as the market has been caught in flatteners
Do you recommend just use futures ZT vs ZB for steepener?
Yea ZT ag ZB, or in the case of 5/30 ZF ag ZB. You need to know the hedge ratios as well
Got it, one can get their duration estimates from CME website
Guo, what about 2/30 steepener trade?
I think 2/30 or 5/30 steepeners will perform well. They had a massive move yesterday on the Timiraos article. Should have more to run as the market has been caught in flatteners
Sorry, Geo, for mistyping your name.