‘Demand For Convexity Has Collapsed’

Blink and you missed it. For about a week, market participants showed some interest in hedging again as dialed-up exposure was forced to confront a no-longer-disregardable re-pricing across the US rates complex and the specter of state-on-state conflict between Israel and Iran. Vol expanded and skew steepened off extreme flats as demand for downside outstripped short vol flows for the first time in recent memory. Alas, it proved unsustainable. The muscle memory that dictates equity dips must b