US Ten Year Treasury notes are exhibiting a highly unusual correlation with a number of global assets. This abnormality is setting up a variety of potential trades, an October 3 Bank of America Merrill Lynch report notes. Many of these trades are based on “rates-slaved” low volatility assets, the Global Equity Volatility Insights report noted, pointing to long convexity trades and strategies that benefit from a pick-up in interest rate volatility. [timeless] Interest rate volatility is at interesting, if not troubling lows, depending on who one listens to. The Bank of International Settlements, whose financial stability warnings are closely monitored,…
BofA On How To Benefit On “Rates-Slaved” Trades
Mark Melin
Mark Melin is an alternative investment practitioner whose specialty is recognizing the impact of beta market environment on a technical trading strategy. A portfolio and industry consultant, wrote or edited three books including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008) and taught a course at Northwestern University's executive education program.