G-10 foreign exchange is no longer unbreakable
Libor rates continue to push higher and the Lehman US aggregate OAS credit index continues to hit new cyclical highs. Both TED spreads – the difference between US treasury rates and eurodollars as represented by the Libor – and swap spreads remain problematic. Also, the current evolving structure is at odds for carry and cyclical-based trades, as we have often found that a washout occurs when equity markets start finding support.
Modest improvements to the Chicago Board Options Exchange
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