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Is The Market Ripe For A Leg Wider?

31 January 2017 by lberuti

Daily variations are still a far cry from what they used to be during recent crises. A the close of business, iTraxx Main was 1.5bps wider at 73.75bps and iTraxx Crossover 2bps wider at 301bps in Europe, CDXIG was 1bp wider at 66.75bps and CDXHY 4bps wider at 351bps in the US. But today was the first time in a very long while that it felt like something could happen. The squeeze we had in the morning after yesterday’s weak session looks very much like something that has to be expected when a bear market develops. The credit index option market has still not reacted though. Not a single volatility offer budged during the last few days, and that is probably one of the reasons the market is currently well behaved.