July 31st, 2009 2:15 pm | by John Jansen |

As measured by the premium on the three month /ten year ATM swaption straddle, vol is eroding. That premium is 597 basis points today. I marked it at 602 yesterday.

Swap spreads are a tad tighter across the curve. Two year spreads are 1 1/2 basis points tighter at 35 1/2. Five year spreads are 1/4 basis point tighter at 36 1/2. Ten year spreads are 3/4 basis point tighter at 24. Thirty year spreads are 1/2 basis point tighter at NEGATIVE 13 1/2.

FNMA 4 1/2s are 4 ticks wider to swaps.

In MBS I have heard of index buyers of 4 1/2s and 5s and very modest selling from originators.

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