各位好 最近在研究利率商品的券商报告 其中在trade volatility的组合不太理解 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可以理解但不知道为何要+25 1跟2不太懂这些组合怎麽利用到波动率多寡 烦请高手解惑 或是有任何关於swaption strategy的资料 非常感谢! --

※ 发信站: 批踢踢实业坊(ptt.cc), 来自: 118.160.253.74 ※ 文章网址: https://webptt.com/cn.aspx?n=bbs/CFAiafeFSA/M.1497019112.A.DD9.html