Swaps and MBS and Vol

August 31st, 2009 2:22 pm | by John Jansen |

Swap spreads are tighter across the curve today. Two year spreads are one basis point tighter at 34 1/2. Three year spreads are 2 basis points tighter at 46 3/4. Five year spreads are 1 1/2 basis points tighter at 36. Seven year spreads have tightened 2 basis points to 19. Ten year spreads are 2 1/2 basis points tighter at 20 1/2. Thirty year spreads are 3 basis points narrower at NEGATIVE 11 1/2.

Mortgages are about a tick tighter to swaps.

The three month / ten year ATM swaption straddle is 525 basis points.

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  1. One Response to “Swaps and MBS and Vol”

  2. By vol-trader on Aug 31, 2009 | Reply

    with a good number on friday, bonds could be vulnerable to a good shakeout. vol is probably a good buy going into the number (probably not a hold through the number though).

    thoughts?

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