Volatility

Ever since the 30 year auction closed earlier, the market has been acting about as rationally as the Stalingrad Bourse back in 1939. Nowhere can this be seen better than the volatility in the 15 Year mortgage. Vol has moved from stocks, to CDS, to treasuries and is now roosting in mortgages. Rinse. Repeat?

Over the past few months, we've been seeing decreased volatility in USD and JPY despite a slew of body blows coming out on the news calendar. From broad based indicators (ups and downs of second derivs of major demand indicators) to specific items that do not seem restricted to the "unlikely to repeat" pile going forward (anything FOMC related) we have to wonder if the pressure is building.

Over the past few months, we've been seeing decreased volatility in USD and JPY despite a slew of body blows coming out on the news calendar. From broad based indicators (ups and downs of second derivs of major demand indicators) to specific items that do not seem restricted to the "unlikely to repeat" pile going forward (anything FOMC related) we have to wonder if the pressure is building.