An IO strip can have negative DV01 because its value tends to increase when yields rise. Higher yields generally slow prepayments, leaving more interest payments outstanding for longer, which benefits the IO holder.

This effect is most pronounced when yields are low, because prepayments are more sensitive to rate changes and the IO’s cash flows are more exposed to changes in prepayment behavior.

Therefore, the most likely instrument to exhibit a negative DV01 is B) Interest-only (IO) strip at low yields.