The trade idea that we recommended on Abbott is still sitting on a near-to-zero P&L because the stock has realized less volatility than we expected. While given the protective nature of the trade keeping the position open until option expiration would not lead to much risk, we still recommend to close the position due to a setup deterioration.
Understanding Convexity Bias in STIR Futures Markets
Download PDF Introduction A persistent feature of short-term interest rate markets is that the rate implied by STIR futures systematically exceeds the corresponding forward rate derived from the swap curve, despite both referencing the same Read more…
0 Comments