Costs to Hedge Against a Deeper Selloff in US Bonds Are Soaring

Macro
โดย Bloomberg·Read original
Summary · why it matters

Bond traders are paying the highest premiums since March to protect against a further climb in longer-dated yields. The premium on puts versus calls, shown by an implied volatility measure of 1-month 25-delta skew, stands at its highest in about five months. Investors are hedging in both 10- and 30-year tenors through a range of option structures around September Treasury puts, with flows on Friday targeting a 10-year yield move toward 4.8%. A huge buyer of US long-bond puts paid a premium of around $20 million to hedge a move in 30-year yields up to around 5.3%, and larger option flows since the Fed meeting have targeted a 10-year yield as high as 4.9% and a 30-year yield rising to as much as 5.42%.

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