A Follow Up To Last Night

18 Aug

Thanks to some comments from Professor Pinch which got my gears turning this morning, I present to you a breakdown of the standard deviation moves for each of the yield curve spreads and the individual underlying tenors.

This should provide a clearer picture of the moves in not only the spreads/yields and hopefully for you mean-reversion people out there, a chance to identify some short term opportunities.

Individual Yield SD Spikes

Yield Spread SD Spikes

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One Response to “A Follow Up To Last Night”

  1. Professor Pinch August 20, 2010 at 10:07 am #

    These are awesome. Thanks for posting these.

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