Credit options flow mixed post FOMC

Paola Lamedica
By Hazel Sheffield
24 Jun 2014

Flows have been mixed in credit options on iTraxx Main, reflecting the lack of a strong consensus in credit markets after the Federal Open Market Committee’s dovish statement last week.

Bank desks have been seen buying hedges such as out-of-the-money payers with expiries in September and December. Some real money accounts have been seen focussing on rehedging with strikes around 70-75bp with September expiries where prices are in single digits, while hedge funds have sold volatility in similar ...

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