There have been two important developments at the two most powerful central banks in the past two months. First, noises from the Fed officials on QE2 – aka round two of credit/quantitative easing – have caused renewed concern about balance sheet expansion and debt...
Implied US swaption vols are being CRUSHED. I have attached 2 charts – one for 5y5y and another for 6m10y implied normalized US swaption volatility. Vega, the 5y5y implied, is at its lowest level in over a year. Gamma, the 6m10y implied, is close to the March 2010...
Seven trading sessions ago 10yr yields were below 2.90% and the spoo was looking set to break 1000. I was stomping floor last week trying to convince people that “the economic reality of a 2.50% 10 year note” was a fantasy world! That said, I have been negative on...
And had basically been delisted This headline just came across: (BN) *GERMANY'S HYPO REAL ESTATE SAID TO FAIL EU BANKING STRESS TEST It’s kinda like saying FNM, FRE, AIG, LEH or BSC failed the US stress test. Kinda seems obvious! If HRX had passed, now that would be...
I thought that sticking with a South Park theme for commentary titles seemed appropriate given yesterday’s title – “And…its gone”. The chance to sell 2 handles in 10s is still gone and we are pushing up towards some key technical levels around 3.06. The rocking...
I thought that sticking with a South Park theme for commentary titles seemed appropriate given yesterday’s title – “And…its gone”. The chance to sell 2 handles in 10s is still gone and we are pushing up towards some key technical levels around 3.06. The rocking employment data from Canada today gave us a nice push […]
