1-year midcurve vols have been trading close to or slightly above 2-year midcurve since late March, something that we have no previous record of (our data goes back to 2011). More recently this move has become more pronounced with 1-year Vol midcurve moving clear of 2-years.
Looking at the Sept ATM Straddles in 2-Year and 1-Year Midcurve, both expiring in 113 Days you can see just how unusual this move is. This is 7 years price history of the Sept Midcurve Straddles.
If you’re looking of trading ideas or have curve views on these parts of the curve (calls and puts are also extreme). This certainly looks an interesting area to watch currently. Our run-through pages clearly show how rich the 1-yr Midcurve are currently.