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UnknownUnicorn1043646

Credit - Bonds Volatility Megaphone

Long
ICE BofAML U.S. Bond Market Option Volatility Estimate Index (TVC:MOVE)  
UnknownUnicorn1043646 Mis à jour   
TVC:MOVE   ICE BofAML U.S. Bond Market Option Volatility Estimate Index
Chart Patterns Wave Analysis move US10Y US02Y US05Y US20Y US30Y
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chartpattern waveanalysis move us10y us02y us05y us20y us30y
Idea for MOVE:
- Bond markets seeing volatility after the Quad Witching and FOMC double whammy.
- US02Y 2x ATR spike:
snapshot
- Expecting turbulence the rest of the month.

GLHF
- DPT
Transaction en cours:
Interesting chart in the 5s30s:
snapshot
Transaction en cours:
This took some time to materialize but here it is:
snapshot
Commentaire:
After RBA unexpectedly refused to buy their own government's bonds, Australia's 2 year bonds experienced a "VaR shock inducing, bond crushing 5-sigma move, and the biggest one day surge in 2Y yields since the Lehman crisis!" according to Tyler Durden.

snapshot
Commentaire:
AU02Y with >10 sigma move:

snapshot

Excited to see the spillover effects in the bond market.

Idées en relation

UnknownUnicorn1043646
Macro - Reading The Curve
Clause de non-responsabilité

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