09 July 2015 by lberuti
Since Mr Tsipras surprised everybody with the announcement of a referendum a couple of weeks ago, the basis of all the indices in Europe (ie the difference between their quoted value and the theoretical value computed with the prices of their constituents) have been consistently positive. And these bases were actually at levels only seen in period of stress, as they reached more than 1% on iTraxx Crossover and 50cts on iTraxx Main. Since Monday, they have been converging towards 0 which is nicely setting the scene for a potential big move once the final outcome of the negotiations (if one can call recent meetings negotiations given the 2 parties appear no closer than they were 4 months ago) is eventually known. Next Monday, the so-called deadline to find an agreement will have lapsed, and technicals should not prevent the market to gap one way or the other.