US Rate Volatility Screener
Morgan Stanley·2024-08-13 08:23
M August 8, 2024 05:35 PM GMT Global Macro Strategy | North America US Rate Volatility Screener We analyze price action in US interest rate volatility markets, particularly in OTC (vanilla, curve, and forward vol) and CBOT options. Data are as of August 7, 2024. Key Takeaways The vol surface was higher, led by upper left products Both expiry and tail term structures flattened Curve vol was higher, and continues to screen rich on an I/R basis Forward vol was mixed, and looks cheap vs. midcurves and vanilla v ...