Meanwhile, a quick look at USD should be a good complement to your morning coffee - the vol has been essentially sideways for the past couple of months and the carry unwind risk is back to the middle of Greenspan-era liquidity. Yup nothing to see here folks, move it along.
(quick note: the big moves in the unwind risk index have been in the IMM and swap spread z-scores - take that as you will)
Thanks to BarCap for the research
Sphere: Related Content
Print this post