Condor和butterfly的区别

问题如下：

McLaughlin and Michaela Donaldson, a junior analyst at Delphi, are now discussing how to reposition the portfolio in light of McLaughlin’s expectations about interest rates over the next 12 months. She expects interest rate volatility to be high and the yield curve to experience an increase in the 2s/10s/30s butterfly spread, with the 30-year yield remaining unchanged. Selected yields on the Treasury yield curve, and McLaughlin’s expected changes in yields over the next 12 months, are presented in Exhibit 1.

After recommending a portfolio strategy, McLaughlin tells Donaldson that using a duration-neutral, long/short structure may be a better strategy for attempting to enhance portfolio return. McLaughlin suggests that Donaldson consider a butterfly trade or a condor trade using some combination of 2-year, 5-year, 10-year, and 30-year bonds.

Given McLaughlin’s interest rate expectations over the next 12 months, which long/short structure would be most appropriate?

选项：

Condor: short wings, long body

Butterfly: short barbell, long bullet

Butterfly: long barbell, short bullet

解释：

C is correct.

McLaughlin expects interest rate volatility to be high and the yield curve to experience an increase in the butterfly spread, with the 30-year yield remaining unchanged. Given these expectations, a long barbell (2s and 30s, short bullet [10s] butterfly trade would be most appropriate. The two-year yield is expected to slightly increase by 0.04%, resulting in minimal price impact given the relatively low duration of two-year bonds. Similarly, the 30-year yield is expected to remain constant, resulting in minimal price impact as well. The 10-year yield (+0.50%) is expected to increase by more than the 5-year yield (+0.40%), and with its higher effective duration, the 10-year would be appropriate for the short bullet part of the butterfly trade.