ConvexityMaven

MBS spreads touch 100bps over T10s I wrote about MBS yield spreads clipping a near record 175bps in November 2023. This was driven by: 1) Extremely high Implied Volatility (MOVE @ 126) 2) An inverted Yield Curve (2s vs 10s @ -35bps) This was crazy for a zero credit risk asset…

Today I offer an "Open Letter to the US Treasury" concerning the suggested privatization of Fannie Mae convexitymaven.com/wp-content/upl… Not to bury the lede - I am viscerally opposed to such Those who can read between the lines should appreciate why I question the motives, and why a…

For entertainment (not a recommendation) what I am doing for "higher for longer": A (civilian) replication of a trade I did for my personal account yesterday Options on FFG6 (February 2026 Fed Funds Futures) that expire on 2/27/26; after the Jan 28 FOMC, but before the Mar 18…

New Commentary... The Russian author Anton Chekhov famously advised writers to "not put a loaded rifle on the stage if no one is thinking of firing it". President Trump has placed the “Tariff gun” on the table; we cannot unsee it. And as Chekhov has suggested, it was put…

Panic update.... $MOVE Index (live) is now at 172, a level only touched in: 1) Oct 1998 LTCM collapse 2) Sep 2008 Lehman collapse 3) Mar 2023 SVB collapse Note - Mar 2020 Covid peak was 164 This is the bond market "stop out" trade, the Hedge Funds are unwinding all their…

Time for the infamous 2 1/2 day rule....?? I abhor market timing, but it is my experience that when $hit happens, the market peaks and reverses 2.5 days after ignition. Day 1 is shock Day 2 is panic, prayer and a call from Risk Mid-Day 3, capitulation and the position is…

$MOVE vs $VIX inflection.... The popular story of 2023 was the massive increase in the MOVE Index (orange -bond volatility) vs the decline in the VIX Index (white - equity volatility). We are now back to our regularly scheduled programming of a rising VIX relative to the MOVE.…

Don't be distracted by shiny objects...from my last Commentary... "I will say I do not know if changes to Tariff and Tax policies are bullish or bearish; but what I know for sure is that if the US Government tries to deport more than the 75,000 illegal immigrants who have been…

Trade like the Professionals The pro's (@profplum99) do not buy zero-coupon bonds when they want "hard" Duration, they buy the product contained in the Bond Bull It is unclear why the 25+ Zero ETF has $1.63bn AUM when the Bond Bull will crush it with 1.6x the Duration and 3.5x…

New Commentary: "Got Duration ?" Most financial managers use Duration to build a balanced portfolio to reduce volatility With a Duration of nearly 40, my new NYSE-listed Bond Bull has 2.5x the horse power of the popular $53bn AUM UST +20yr ETF; and its Convexity allows it to…

“Buy vol” (convexity) near an inflection point….and T30yr at 5.0% is an inflection point. The Trade: Sell UST 20+ ETF vs Buy the "Bond Bull" strategy (~7yr expiry call option on T10yr). The Convexity will soften a further rates back up, while super charging a bond rally.

Wither 60/40 ?? For the past two decades, Investment portfolios (as well as Hedge Fund fortunes) have been built on the 60%/40% stock//bond allocation that relies upon their inverse correlation. This may soon end as interest rate near 5.0% Why...? 1) Discounting equity…

I rarely respond on this channel, but for clarity on my Stocking Stuffers and Macro-view: I am not "selling products for a fee"; rather I have created products to allow civilians to access my best ideas via an NYSE-listed vehicle since usually only professionals can buy…

The 2025 Stocking Stuffers Come this time every year, I publish a list of “Investments” that I think will do well over the intermediate horizon – two to five years. >>> convexitymaven.com/wp-content/upl… My Macro-view has not changed much: Higher for longer and T10yr "fair value" near…

The Walmart of Duration....more for less ! The new NYSE-listed "Bond Bull" has a duration of 2.5x the UST 30yr, and 6x the convexity... ...yet only a 15% dollar allocation matches the duration of the Bond Aggregate Index. What will you do with all those conserved $$ ?…

Introducing the NYSE-listed "Bond Bull" strategy; It is duration on steroids (43 years vs 16.6 for the UST 20+ year ETF). It's only asset is a 7-year expiry (March 2032) call option on the 10yr, K = 3.25%. Invest only 40% of the dollars to have a superior "modeled" profile.…

Options market forecasting - UPDATE: Bond: Implied = + /- 17bp; Actual = -16.8bp SPX: Implied = + /- 102pts; Actual = 120 pts Gold: Implied = + /- $44; Actual = -$81 MOVE prior = 130; now 117 VIX prior = 20.49; now 15.87 Good luck today. hb @profplum99…

Election "break even" analysis... UST 10yr rate: 17bps; 1.33 points $MOVE now @ 136 SPX: 1.8% or 102 points $VIX now @ 20.3 Gold: 1.6% or $44 Let's hope it's a clear victory....either way @profplum99 @biancoresearch @LukeGromen @EconguyRosie @jam_croissant @dampedspring

Knock, knock....it's MBS Opportunity !! The spread of MBS over UST is a function of: 1) Shape of Yield Curve (2s vs 10s) 2) Implied Vol ( $MOVE Index) May 2021 MBS @ +25bp (MOVE = 60, Curve = +150bp) May 2023 MBS @ +190bp (MOVE = 160, Curve = -85bp) Sep 2024 MBS @ +115bp…