BNP Paribas outline a "U.S...........>

US TSY OPTIONS: BNP Paribas outline a "U.S. mid-term elex protection" trade

idea. BNP suggest that "mkts are likely to be well-priced for a Dem Party

takeover of the House of Reps at the 06 Nov mid-term elex, in our view. We think

the immediate reaction would be more significant if the Republicans can hold

both the House & Senate. We would exp. markets immediately to price in a greater

likelihood of additional tax relief & deregulatory legislation, supporting

growth exp. for '19, with upside implications for the USD, U.S. rates & U.S.

equities. We think risk reward is attractive for positioning for the surprise

scenario of a status-quo result. Recent market vol, while likely unrelated to

the elex has resulted in improved entry levels for trades in rates."

- They recommend to consider buying US 10-Year 09 Nov 18 puts or put spreads ref

118-23 TYZ8

- 118.00p 9/11 -24%d

- 117.75p 6/7 -18%d

- 117.50p 4/5 -13%d

- Alternatively, the 118/117 PS is 7/9 -18%d