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Words and Confetti

15 April 2015 by pdonnat

The attached grapple shows how unmoved the CDS market has been today. We could have reacted to words and confetti. First, we had harsh words from Wolfgang Schaeuble saying Greece was a “bottomless pit”. Second, we had Josephine Witt, the activist sending confetti on Mario Draghi. ECB is not really popular among Europeans. The market was unmoved, little activity on the CDS has to be reported.

On the index side, we had the option expiry. Due to the large base of gamma sellers, the volatility was contained. The iTraxx Europe Series 23 has been trading in a 2bps range for the last 3 weeks. We are definitively on an inflection point with a growing asymmetry in favour of a large consolidation.