Swaps and Vol

May 28th, 2009 10:57 am | by John Jansen |

The three month10 year ATM straddle is 624 basis points.

Swap spreads are mixed and off their worst levels by 2 basis points to 3 basis points.

Dealers report some convexity hedgers paying but some thought that much of the widening was traders front running widening which has not materialized to the extent expect. Ergo, spreads narrow a bit as traders cover positions.

Two year spreads are 3/4 basis point tighter art 41 3/4. Five year spreads are 1 3/4 basi spoints wider at 52 1/4. Ten year spreads are 2 1/2 basis points wider at 31 3/4 and thirty year spreads are 1 1/2 basis points wider at NEGATIVE 15.

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