07 May 2015 by lberuti
The correlation between all risky assets during the session was impressive. Equities, interest rates, FX and credit moved in unison, and they all hit their most stressed levels mid-morning when German 10y rate reached 0.77%. The remaining part of the session was spent erasing the whole move, and most markets ended the day almost where they left it yesterday at the close. iTraxx Main (resp. iTraxx Crossover) opened at 64bps (resp 290bps), went all the way to 67bps (resp 303bps) as long risk positions were cut, before coming back to close at 62.2bps (resp 283bps) as short risk positions were unwound to close 0.8bps (resp 3bps) tighter on the day. In the end, it was a tricky session if you are managing short gamma positions, but if you are a medium term investor who does not spend his time staring at his screens watching markets’ every move, you could be forgiven for wondering what the fuss was all about. We already had a few instances of these intraday moves eventually petering out and the current volatile environment will certainly bring some more.