Citigroup Recommends Shorting Yield Curve Volatility as World Cup Begins June 11

According to Citigroup, on June 8, strategists including Mike Chang recommend shorting yield curve volatility using options as the FIFA World Cup begins June 11. Historically, short-term interest rate volatility in U.S. and European debt markets has tended to decline during the tournament period. The bank expects volatility in the 2-year to 10-year yield curve to remain below levels implied by market pricing over the coming month. As summer vacation season and the monthlong World Cup (June 11–July 19) typically reduce trading activity and draw liquidity from markets, Citigroup anticipates a relatively calm period for short-term rate movements despite geopolitical uncertainties.
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