Portuguese bond spreads have been weak all week; Spain has been bleeding in the front-end and belly of the curve; and today saw Italian bonds start to lose some gains. What is perhaps more notable is the weakness in Italian stocks (most notably banks) since the short-sale ban was lifted on Friday. FTSEMIB is down 3.5% from pre-FOMC and -5% from post-FOMC spike highs. EURUSD is back below 1.30 (and stands 1.5 sigma rich to swap-spread-implied levels). Meanwhile, Europe's VIX plummets to six-month lows as realized vol plunges - but the volatility risk premium is still high.
Can you spot when Italy lifted its short-sale ban?
[6]
EURUSD is now significantly rich to 'fair' valuye based on swap-spreads...
[7]
and bond spreads continue to leak - with Italy catching up to Spain...
[8]
Europe's VIX is plunging again - as realized vol also drops... but these vol risk premium is 'relatively' high
[9]
Charts: Bloomberg