Credit - Bonds Volatility Megaphone

Jun 19, 2021

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

Jun 19, 2021

Trade active

Interesting chart in the 5s30s:

Oct 27, 2021

Trade active

This took some time to materialize but here it is:

Oct 28, 2021

Note

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.

Oct 29, 2021

Note

AU02Y with >10 sigma move:



Excited to see the spillover effects in the bond market.