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


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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