Market Participants Seen Selling Long-Dated Convexity As Risk Premia Play

Investors have been seen selling long-dated convexity and skew on the Euro Stoxx 50 via knock in risk reversals, which typically involve buying 2.35x SX5E Dec. 2021 3,300 strike calls and selling 1x SX5E Dec. 2021 3,300 strike puts.