Morgan Stanley Fixed-Global Macro Strategy US Rate Volatility Screener-109454913

MUpdateGlobalMacroStrategy|NorthAmericaUSRateVolatilityScreenerWeanalyzepriceactioninUSinterestratevolatilitymarkets,particularlyinvanilla,curve,andforwardvol.DataareasofJuly25,2024.MorganStanley&Co.LLCFrancescoGrechiStrategistFrancesco.Grechi@morganstanley.com+1212761-1009InstitutionalInvestorGlobalFixedIncomePollisnowopen.Wehopeyouhaveenjoyedourresearchoverthepastyearandappreciateyoursupport.Requestyourballot.TopTradeIdeasinUSRatesVolatility:lShort1m2s30scapsvs.long5m2s30scap(struckATMF,priced29-Jun-24):Thistradecomplementsourmorestructural2s20ssteepener,whiletakingadvantageofrichnear-termcurvevolExhibit1:Curvevegahasbeencheapeningvs.constituentvanillavols49545964698090100110120Jan-23Apr-23Jul-23Oct-23Jan-24Apr-24Jul-245y2y5y10y5y2s10s(rhs)Vanillavol(bpv)Curvevol(bpv)Source:S&PGlobal,MorganStanleyResearchMorganStanleydoesandseekstodobusinesswithcompaniescoveredinMorganStanleyResearch.Asaresult,investorsshouldbeawarethatthefirmmayhaveaconflictofinterestthatcouldaffecttheobjectivityofMorganStanleyResearch.InvestorsshouldconsiderMorganStanleyResearchasonlyasinglefactorinmakingtheirinvestmentdecision.Foranalystcertificationandotherimportantdisclosures,refertotheDisclosureSection,locatedattheendofthisreport.KeyTakeawaysThevolsurfacewashigher,ledbyuppertableproductsExpirytermstructuresflattened,ledby1m/1yswitches...