If you’re following the US Bond complex you will have seen the recent spike in US-Year 2-Yr Bond Vol relative to the other contracts. Checking… Read More »US 2-Yr(TU) Vol spike
US Long Bond Vol has been really under performing recently versus 10-Years (TY), 5-Years(FV) and 2-Years(TU). Check the Z-Score for the last year here. Looking… Read More »US Long Bond(USQ) Vol v US 5-Years(FVQ)
A lot of talk in Chicago of the current skew in Eurodollars being at a record, it certainly shows up in our synthetic charts as… Read More »Heavy skew in Eurodollars
Bobl vol has been running cheap to Bund vol for a number of weeks now, although never really getting to below 10bp under until this… Read More »Bobl/Bund Put Vol switch