top of page
  • Writer's pictureEdward Ballsdon

"SRY"s, cross market yield spreads and FX implied vol

RESEARCH CONTENT


This research breaks down the historical post 2014 changes in "Simple Real Yields" of 6 countries into 4 stages, contrasting the moves against inflation and economic surprise indices.


What becomes clear from the study is that there are serious relative value differences, which seem misplaced given recent inflation trends and economic data releases. This throws open some interesting cross market spread opportunities.


If cross market spreads move as expected, and current correlations with FX crosses remain in place, then there is a real possibility of a change in the Dollar valuation, something that is not priced at all by the implied vol market.

58 views0 comments

Recent Posts

See All

Update on France

An update to the 12Dec23 research on France which concluded that French OATs were at risk of a revaluation: https://www.thegreyfirehorse.com/post/french-flying-red-flags In this research, there are up

The Yield Curve and "This time is different"

This research analyses the ability of the yield curve to forewarn a recession. In conclusion, this time IS and IS NOT different: It’s not the yield curve that predicts recessions, it’s the rise in bot

The deleveraging US consumer and implication for yields

RESEARCH CONTENT Personal Consumption Expenditure (PCE) makes up approximately 68-70% of the US’s GDP. Probably in large part due to tighter monetary policy and the high cost of debt, it should not co

Comments


bottom of page