再次测试边界：鉴于波动率与利率的方向性，我们从3个月10年期美元支付方阶梯建议中获利，但保留其他美元软长期限结构。在欧元波动率方面，我们认为即使欧洲央行暂停降息，像1年期1年期这样的中左波动率也过于便宜。

Restricted - External Amrut Nashikkar+1 212 412 1848amrut.nashikkar@barclays.comBCI, USCharley Chau+44 (0) 20 7773 4954charley.chau@barclays.comBarclays, UKAndres Mok, CFA+1 212 526 8690andres.mok@barclays.comBCI, USEveline Dong+1 212 526 9576eveline.dong@barclays.comBCI, US FIGURE 1. High-strike payers expensive to low strikes in longer tenorsFIGURE 2. Unlike early April, long-end swap spreads have nottightened much in recent days4.04.24.44.64.85.05.2-95-90-85-80-75-70Nov-24Dec-24Jan-25Feb-25Mar-25Apr-25%bp30y swap spread (bp)30y yield (RHS)Source: Barclays ResearchRates section of this publication). Overall, the deficit outlook, while quite negative, is somewhatbetter than where it was at the beginning of the year.That said, we take profit on our 3m10y payer ladder recommendationEntry levels on rates at the long end are still not high enough to be conducive for outright longduration trades, in our view. We recommended being long 3m10y 1x1x1 ATM/ATM+20/ATM+40payer laddersafterthe early April bond market dysfunction to benefit from the risk premium ofhigh rates being priced into the skew, as well as the potential for a moredriftingselloff.Giventhe rally followed by thedriftingselloffthat we have experienced over the past month, the tradehas carried well, and rates are back to the level at which they were at the initiation of ourrecommendation. The structure is likely to become long duration if rates continue to movehigher.While we think a sharpselloffremains unlikely, we are somewhat wary that the recent deliveredvol co-movement with rates has been higher than what is being priced in. Therefore, we takeprofit on the trade. We think there are more optimal ways to express a long duration bias –through receiver flies in themid-leftof the vol surface, and through outright low strike receiversin 10y20y. We also think that vol term structures will continue to invert between short (3m)expiries and longer expiries, given that hard data do not show deterioration, but the range ofoutcomes for Fed policy remains quite wide over the next year. As a result, we also maintaincalendar spreads in the topleftof the vol surface.EUR options:Shiftinguncertainty, butmid-leftvollooks cheapDespite the recent whiplash caused bytariffs,the EURtop-leftvol surface points such as 3m*1yare close to their lowest level on the year, at nearly 56 bp/y (Figure 3). The main reason for this isdiminishing central-bank-related volatility, as the ECB has emphasised a "steady hand"approach. The current level of vol implies a breakeven of +/-23 bp for 1y rates. In other words,the expected variation in the forward ECB policy path is of less than one cut over the next threemonths.However, long-dated front-end vol such as 2y*1y started to find support (Figure 3) at 78 bp/ysince late April. Long-term uncertainty has not faded, given the wide range of2 FIGURE 3. Fadingtarifftension drove EUR short-expiry vol in frontend lower, butbottom-leftvol is still supported by long-termFIGURE 4. Divergence between the weakened 1y expiry front end andterm-premium-supported long-end vol is at the YTD wides-15-10-5051015Jan-25Feb-25Mar-25Apr-25May-25bp/yYTD change in EUR implied vol of 1y expiry withdifferent tenors1y1y1y2y1y5y1y10y1y30ySource: Barclays Researchpotential outcomes for the US and euro area. EUR 2y*1y vol bottomed out at around 76 bp/y inFebruary before "Liberation Day", so it isdifficultto see howbottom-leftvol could fall belowthat level with such a high degree of trade-related uncertainty.The downward pressure in short-expiry and support in longer-dated front-end vol raisesthe question of whether intermediate expiries such as 1y*1y in Europe are fair. Of late, 1y*1y volhas been cheapening, as it has moved closely with shorter-expiry volatility, and with an implicitview that LHS rates will likely become more anchored.Comparing 1y expiry options withdifferenttenors (Figure 4) also highlights that 1y*1y vol is lowrelative to other 1y expiry vols. This has happened because EUR 1y*10y and 1y*30y vol haveedged up in May on optimism that there could be more fiscal-related bearish impulses from USand EUR rates. The gap between 1y*1y and 1y*10y vol is now at the YTD wides.From a realized perspective (Figure 5), however, the 1yf 1y rate has been delivering the mostvolatility across the surface. As a result, the 1y1y implied/realized ratio is lower than 1, withlittle room to weaken further. One possible explanation is that the market is pricing in a strongview that 1y*1y volatility will fallafterthe June ECB meeting. But an analysis of how the volsurface has behavedafterprevious pauses in cutting cycles (Figure 6) shows that vol surfacetends to flatten along tenors (1y*1y volrisingrelative to 1y*10y vol)afterthe first central bankpause. This dynamic, together with the low implied/realized ratio, suggests that LHS vol pointssuch as 1y*1y in EUR are now especially cheap for this stage of the ECB cycle.3 FIGURE 5. 1yf 1y has been delivering the highest realized