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! --

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