Morgan Stanley Fixed-Global Macro Strategy US Rate Volatility Screener-109875507(1)

MUpdateGlobalMacroStrategy|NorthAmericaUSRateVolatilityScreenerWeanalyzepriceactioninUSinterestratevolatilitymarkets,particularlyinOTC(vanilla,curve,andforwardvol)andCBOToptions.DataareasofAugust15,2024.MorganStanley&Co.LLCFrancescoGrechiStrategistFrancesco.Grechi@morganstanley.com+1212761-1009TopTradeIdeasinUSRatesVolatility:lMaintainSell1.77xnotional3m30ystraddlesvs.buy1xnotional1y30ystraddles(deltahedgebothlegs;initialtargetvolparity;stop-lossvolratioof1.15x):ThevolsurfacehasflattenedtoYTDhighs,andshouldnormalizeasmoreclarityisascertainedregardingthecuttingcycle.Exhibit1:Expirytermstructuresareattheirmostinvertedoverthepastyear0.850.931.001.081.15Jan-24Feb-24Mar-24Apr-24May-24Jun-24Jul-24Aug-243m30y/1y30y(rhs)MStargetMSStopMSentryVolratioSource:S&PGlobal,MorganStanleyResearchMorganStanleydoesandseekstodobusinesswithcompaniescoveredinMorganStanleyResearch.Asaresult,investorsshouldbeawarethatthefirmmayhaveaconflictofinterestthatcouldaffecttheobjectivityofMorganStanleyResearch.InvestorsshouldconsiderMorganStanleyResearchasonlyasinglefactorinmakingtheirinvestmentdecision.Foranalystcertificationandotherimportantdisclosures,refertotheDisclosureSection,locatedattheendofthisreport.KeyTakeawaysThevolsurfacewaslowerthisweek,ledbyupperleftproductsBothexpiryandtailtermstructuressteepenedCurvevolwaslower,yetcontinuesto...