Lepidoptery in December

December 31st, 2013 9:21 am | by John Jansen |

The 5s 10s 30s butterfly at 34 basis points is trading at both multi year highs and local highs. The recent range (last 30 days) is 27 to 34 so we are at the wide end of that range. On a long term chart you have to get back to the spring of 2010 before the full flowering of the European debt crisis to find levels cheaper than these. In that time frame the 10 year note itself traded between 3.50 and 4.00 before fears that Europe would unravel sent yields plummeting.

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