They recommend a short position in Treasuries through buying a structure known as payer spreads on 10-year swap rates, with a six-month expiry, aiming for rates to rise by 25 to 50 basis points. Investors should simultaneously sell three-month puts on USD/CNH struck at 6.40, the strategists said.
Treasuries were also on the back foot ahead of auctions, with the U.S. is due to sell a combined $183 billion of two-, five- and seven-year notes beginning Tuesday.
Burry made huge, wildly profitable bets against the housing bubble and and was made famous in the movie “The Big Short”. His short position in Treasuries was in the iShares 20+ Year Treasury Bond ETF.
—With assistance from Tan Hwee Ann.
This article was provided by Bloomberg News.