摩根士丹利：全球宏观策略_美国利率波动筛选器

Investment Rating - The report maintains a long position on 9m30y straddles, indicating a bullish outlook on US interest rate volatility markets [1]. Core Insights - The report highlights increased gamma in the vanilla volatility market, with 1-month expiries rallying by 10-20 basis points [2]. - The expiry term structures have flattened, particularly influenced by strong labor market data, leading to a neutral stance on volatility calendars [14]. - The report notes that the right side of the vanilla volatility surface is trading rich compared to the left side, suggesting potential investment opportunities [2][29]. Summary by Sections Vanilla Volatility - Gamma products are at the upper end of their ranges for 1-year lookbacks, indicating heightened volatility expectations [2]. - The current vanilla ATMF implied volatility shows significant variation across different maturities, with 1-month implied vol at 123.3 for 1-year tails [2]. - The implied daily basis point move for 1-year tails is recorded at 7.8, reflecting market expectations for interest rate movements [3]. Expiry and Tail Structures - The report indicates that expiry switches have flattened, particularly in the 1m/3m segments, due to strong economic indicators [14]. - Tail term structures have steepened, with notable inversion on 2y/5y tail switches, suggesting a premium for shorter maturities [21]. - The implied correlation metrics show that products with expiries greater than 6 months are pricing in higher correlations than realized over the past 3 months [31]. Implied vs. Realized Volatility - The report emphasizes that the surface is trading above parity on a 1-month implied/realized basis, indicating a rich valuation for short-dated curve vol [29]. - The implied volatility for various curves is trading rich compared to vanilla vol, with the 1-year implied curve vol percentile showing significant richness [42]. - The analysis of implied correlation versus realized correlation suggests that gamma products are trading cheap, particularly in the 2s30s and 5s30s curves [40].