Riding Volatility as Turmoil Recedes: All Options Considered
FICC Focus
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The Vol Curve Is Downward Sloping in the Fed's Balance Sheet
Rates fall has faded from cycle highs as the near term left-air risks fade after the banking stress episode. The right tail of the rates distribution narrows as we are in the zone off the end of the hike cycle. Investors really should be focused on US interest rate volatility in particular, because I think that has gotten incredibly cheap. Also the vol curve is very downward sloping.
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