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The Wait Is Over

19 September 2018 by lberuti

Today was option expiry day but it was a rather benign session with respect to late hedging activity, and the trading ranges on all indices were extremely narrow. Once again, the attention of investors was firmly on the roll, and very little directional positioning took place. In the face of a buyers’ strike, bid/offer spreads of protection markets have opened significantly over the last couple of weeks. It was even more obvious today on the eve of the roll, as no one wanted to buy CDS contracts that will not be “on-the-run” tomorrow. It was true for single reference CDS and also stood for indices. Everyone has been waiting for the shiny new toys they will be given tomorrow, and volumes were low. After a few days of anaemic activity, the general feeling is that trading will resume in earnest when the new index series are available. Fingers crossed…