With the initial shock to the markets seemingly over, and Fed policy set to “easy” to stimulate a recovery, rates markets have been subdued making… Read More »Tweety vs Sleepy And The Election Premium In Treasury Vol
Garnering a “Check The Facts” link on social media almost seem to be a badge of honour these days but here the facts support this… Read More »The World Is Flat! (If You Are A Short End Trader)
As the political dialogue switches away from managing the crisis to what-was-done-when and who-said-what-to-who, we take a look at the recent pop in the mids… Read More »Lord Of The (Eurodollar 99.75 Middle) Flies
When long end rates move together in response to a global macro event, their realised vols converge. Structural flows also tend to stop as participants… Read More »TY Vol vs Bund Vol – Cheap Or The New Normal?
If you expect the current near term Eurodollar spread issues (vs SOFR, T-Bills etc) to continue, then Sept Eurodollars are worth a look. Sept Eurodollars… Read More »Sept Eurodollar Broken Iron Fly SOFR spread play
With June Eurodollars upticking this morning towards 99.50, it might be a good opportunity to grab some cheap Puts structures that start with this strike,… Read More »Steep June Eurodollar Put Skew cheapening a lot of Put Structures