Garnering a “Check The Facts” link on social media almost seem to be a badge of honor these days but here the facts support this fake-news headline. Behold the strips in USD, EUR and GBP:
The spread between the 1st and 9th contracts are 2.25bps, 6bps and 4.5bps respectively. This is what the surface of planet ZIRP looks like in rates terms, what about the vols? Here is a run of the at-the-money’s:
Again pretty flat, most are less than 2bps per day, and out to the 5th contract it’s eerily similar. So rates have gone to the “zero” bound for their respective central banks, and from the above it looks like the vols have gone to some kind of lower bound too but is it really that simple? Lets look at where the ATM vols on the 4th contract have been for the last few years:
Just remember, these are trade ideas only and not investment advice. Do your own research and consider your risk tolerance. Know your risk.
Disclosure: We may have trading positions in the same or highly correlated trading structures.