It’s not just stocks rolling over. There has been good MBS buying, some of which is being attributed to stocks taking off (i.e., MBS opened 3-4 wider on the stack yesterday but closed 2 tighter), but reality is that we are seeing real money lift product that extends .07 years. That is helping to pressure volatility that much more as well.

Similarly, hearing anecdotal accounts of Asian real money buying in UK (.30 years for treasury complex) and bunds (.11 years) that is helping underpin US complex, along with stocks really trading poorly to start the day. US extension of only .06 years in Treasuries, but it seems much of the early flow was accounts adding for month end in 7s and 10s.

Numbers were largely a nonevent. Now it’s about watching stocks. Vol remains under minor pressure ahead of the long weekend; the only thing keeping it from collapsing here is the wildcard equity market….want to sell some synthetic puts against 2.8% in cash 10s but don’t want to ruin my long weekend plans!

mjc