Follow The (Convexity) Flows: Restriking Of The Fed Put Revisited

Over the past month, we've spent a considerable amount of time talking about the extent to which, last week's selloff through 3% on 10s notwithstanding, the long end could continue to find sponsorship for a variety of reasons including, most obviously, a safe haven bid associated with acute risk-off episodes but also the assumption of a stable currency thanks in no small part to the Fed and expectations that Fed hikes (and the accompanying USD strength) will ultimately serve to cap inflation exp