Our Experts Comment the Times Series

See All the Comments

Mind The Gap

20 September 2018 by jbchevrel

Today was the roll day for all iTraxx/CDX indices, except the CDX HY. This was the main focus, pushing traded volumes high (IG $46B Main $30B Xover $19B). The iTraxx Main roll was stable throughout the session (c9bp in 5s c7bp in 10s). In contrast, the iTraxx Xover roll traded in the mid -7s region during the European session but once the US came in, flows became one-way, pulling it below -9bp. That move let us feel like preemptively existing long-risk positions on Xover s29 got rolled onto the new series, despite the difference of spread between the two. The chart above might let us feel like credit is wider today because of the roll impact, however today was a clearly risk-on session which saw CDS indices tighten and US equity indices reach new record highs.