LONG AIR VS. SAF
DISLOCATION CREATED BY EUROSTOXX AND CAC RE-WEIGHT
This trade is on the out performance of Safran on back of the EUROSTOXX and CAC re weight (effective close 18th Septemeber).
As Airbus and the market has sold off Safran has outperformed due to the buying pressure.
According to JPM the buying pressure was 8.83 days of volume or 958mn USD.
There are no other reasons for the out performance.
In the last 6 months they have traded within a 5% range with a standard deviation of 3.8%. Safran trading at a premium.
Currently the spread is trading at 15%.
We are looking for the spread to revert to the mean of 5% so locking in a 10% profit.
