Friday, April 5, 2013

Wide gyrations yesterday and today in the JGB, Japan's 10-year rates.  Rates volatility is supposedly lower when absolute levels are low, such as in the Cox Ingersoll Rand model...

Some CTA and macro hedge funds had an excellent day yesterday if they were long Japanese rates.  But today will test their profit taking and stop losses rules; probably many will give back yesterday's profits.

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