Credit - Bonds Volatility Megaphone

2021年6月19日

Idea for MOVE:
- Bond markets seeing volatility after the Quad Witching and FOMC double whammy.
- US02Y 2x ATR spike:

- Expecting turbulence the rest of the month.

GLHF
- DPT

2021年6月19日

交易進行

Interesting chart in the 5s30s:

2021年10月27日

交易進行

This took some time to materialize but here it is:

2021年10月28日

註釋

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.

2021年10月29日

註釋

AU02Y with >10 sigma move:



Excited to see the spillover effects in the bond market.