With the initial shock to the markets seemingly over, and Fed policy set to “easy” to stimulate a recovery, rates markets have been subdued making it harder to see where the next opportunity is.
If you have been paying attention to the short-term interest rate markets (STIRs), you undoubtedly know that volumes have fallen off in Eurodollar options.
Volatility edged up slightly yesterday then turned lower today after a big straddle seller dragged the rest of the curve lower. Attention continues to be on the 100.00 strike and higher as NIRP questions loom large.
