ES -- DX/CL -- isee -- cboe put/call -- specialist/public short ratio -- trinq -- trin -- aaii bull ratio -- abx -- cmbx -- cdx -- vxo p&f -- SPX volatility curve -- VIX:VXO skew -- commodity screen -- cot -- conference board

Monday, June 08, 2009


convexity hedging event

what it is, and it is coming soon -- meaning a pile of long-end treasury selling which could spike bond volatility and potentially force further and greater government intervention in the treasury market.

that intervention was perhaps made more likely by today's unexpected selloff in the short end of the treasury curve, raising short term rates and flattening the yield curve, forcing quite a lot of position closing on the steepening trade which has grown very crowded in anticipation of economic recovery and/or inflation and/or a t-bond dislocation such as a convexity hedging event. more from john jansen.

bloomberg's MOVE chart here.

Labels: ,

This page is powered by Blogger. Isn't yours?