Following Up On the 3m1y/6m1y/1y1y Swaption Fly

A few days ago, we observed that the 1:-2:1 butterfly of 3mx1y, 6mx1y and 1y1y swaption vols was a historically low level, breaking -25bp. (i.e., confirming the observation made earlier than the 6m1y swaption was rich.) The fly nicely retraced above -17bp.