交易期限买方罢工：虽然TLT期权表明存在无序的期限溃败，但这种风险因仓位过度、历史上丰厚的期限溢价以及潜在的国债措施而得到缓解；这种错位在下行（看跌期权价差）和上行（看多风险资产）方面都创造了不对称的机会。

Restricted - External Global Equity Derivatives StrategyStefano Pascale+1 212 526 7983stefano.pascale@barclays.comBCI, USAnshul Gupta+44 (0) 20 7773 0430anshul.gupta@barclays.comBarclays, UKRiddhiman Dass+1 212 526 0850riddhiman.dass@barclays.comBCI, USTejas Shah+44 (0)20 7773 0682tejas.shah2@barclays.comBarclays, UKZhiyuan Fan+1 212 526 5530zhiyuan.fan@barclays.comBCI, US FIGURE 1. 30y Tsy yields are now up on the year, as duration born theFIGURE 2. Term premium is almost 200 bps, nearly the highest in 10yearsSee 30y USTs: In the endgame, 22-May-25Source: Bloomberg, Barclays Derivatives ResearchSource: NY Fed, Barclays ResearchTrading the duration buyers' strikeThe US treasury market is in the midst of a historically turbulent period, with the long end of theyield curve sharply rising (Figure 1). This is driven, among other things, by concerns around therapid deterioration of the US fiscal outlook. Indeed, the durationsell-offcomes at a time whenthe House of Representatives passed a budget bill that is poised to increase deficits materially,even before potential amendments made in the Senate are factored in.Indeed, TLT (20+yr Tsy ETF) options are pricing elevatedlefttail risk in Tsy, thus creatingattractive/asymmetric trading opportunities, in our view, in either directions. For instance, TLTput spreads line-up to position for a controlledsell-off,while TLT bullish risk reversals areattractive to gain upside exposure in a more risk-controlled way, given lingering fiscal/trade waruncertainty. In particular, we believe favorable asymmetry may arise from:•Resistance/attractive entry point:Since COVID, 30-year Treasury yields around 5% havemarked attractive buying opportunities for duration. Indeed, Barclays strategists note thatmarkets are pricing in a historically high 200 bps term premium (Figure 2), suggesting a highbar for yields to rise much further—even if not a definitive ceiling (see 30y USTs: In theendgame, 22-May-25). Indeed, bond fund flows (over a 5-day period) into long-termgovernment funds have picked up.•Stretched positioning:Our model points to CTAs being nearly the most short 30-year UStreasuries as they've been in half a decade (see Figure 4), speculative positioning remainsnearly the most short in recent history (Figure 3), and TLT short interest is close to the highestin a decade (Bond vigilantes at peak vigilance).•Bessent Put:The Treasury may act to prevent disorderly moves in bond markets, especiallyamid rising debt issuance and fiscal concern. In particular, If needed, it can scale up thebuyback program and tilt issuance away from the long end and towards bills (Unusualuncertainty). In conjunction with this, potential Supplementary Leverage Ratio (SLR) reformsby the Fed, including lowering of restrictions and exemptions for banks to hold Treasuries,are likely to benefit duration.•Asymmetric risk fromtariffrollback:The risk of the administration rolling backtariffrates,which would dampen expectations oftariffrevenues is likely to push up yields in the belly of 2 3 June 2025 FIGURE 3. Net speculative positioning on Tsy futures, while paringback from max short, is still significantly short vs recent historyFIGURE 4. CTAs are nearly the most short they have been in half adecade-2.0-1.00.01.0202122232425Z-scoreUS30y, CTA model positioningSource: Bloomberg, Barclays Derivatives ResearchFIGURE 5. Implied vol on TLT is relatively rich, with its premium vsFIGURE 6. Skew on TLT is nearly the steepest in a decade, favoring putspreads and bullish riskies-8%-3%2%7%12%17%22%27%32%Jun-21Jun-22Jun-23Jun-24Jun-25TLT 2m implied vol and VRPTLT 2m 50-delta implied vol...whileits premium againstrealized vol is at the 90th %-ile-0.40-0.30-0.20-0.100.000.100.200.30Jun-15Jan-16Aug-16Mar-17Oct-17May-18Dec-18Jul-19Feb-20Sep-20Apr-21Nov-21Jun-22Jan-23Aug-23Mar-24Oct-24May-25TLT 2m 25-delta skewTLT skew is nearlythe steepest in 10 yrsSource: OptionMetrics, Barclays Derivatives ResearchSource: OptionMetrics, Barclays Derivatives Researchthe curve more, as longer-term rates do not seem to be counting ontariffrevenues (Unusualuncertainty). Indeed, the absence oftariffrevenues would result in higher deficits, but themedium-term fiscal profile would hew close to the current policy baseline.Options assessment of risks remain significantly skewed, providing opportunities:BuyingTLT vol outright appears relatively onerous, especially if based on the implied vs realized spread(Figure 5). However, with skew nearly the steepest in 10 years (Figure 6), trades that benefitfrom selling thelefttail risk set-up quite attractively, especially in light of the points discussedpreviously. For instance, to position for a controlledsell-off,buy TLT Aug25 84/77 put spreads(ref. 84.89, 41/11-delta) for 1.8% (max expiry payout of 4.6-to-1). Alternatively, to gain durationupside in a more risk controlled way, we recommend rolling our previously recommended TLTrisk reversals (Bond vigilantes at peak vigilance) and like buying TLT Aug25