Vale for now: Neutral Rates, "Symmetric", and EURGBP
cheapconvexity.substack.com
I think there are a few interesting things happening that could make the summer quite exciting. 1) Talk of higher neutral rates is deafening. Dudley is entertaining a 3% r* in the US, even in Europe despite this slowdown in economic momentum, Coeure gave a fantastic speech (no surprise there) on the possibility of a reverse hysteresis type phenomena. Given this context, there are some interesting trades in the ER complex and EUR rates. In general, the market is clearing out short vol positions one by one. First US equity vol, then EM via USD, and next will be vol in EUR rates.
Vale for now: Neutral Rates, "Symmetric", and EURGBP
Vale for now: Neutral Rates, "Symmetric", and…
Vale for now: Neutral Rates, "Symmetric", and EURGBP
I think there are a few interesting things happening that could make the summer quite exciting. 1) Talk of higher neutral rates is deafening. Dudley is entertaining a 3% r* in the US, even in Europe despite this slowdown in economic momentum, Coeure gave a fantastic speech (no surprise there) on the possibility of a reverse hysteresis type phenomena. Given this context, there are some interesting trades in the ER complex and EUR rates. In general, the market is clearing out short vol positions one by one. First US equity vol, then EM via USD, and next will be vol in EUR rates.