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Back To The Good Old Days?

09 February 2016 by lberuti

iTraxx Crossover series 24 5y (ITXEX524) traded from 465bps to 447bps and then back to 461bps. And that was before most people had breakfast. The credit market calmed down a bit until lunchtime, but once the US came in, it was chaos again: ITXEX524 all the way up to 482bps before eventually closing the day at 461bps. It is an understatement to say that daily variations at the moment do not say it all. The volatility is intense and the volumes changing hands are substantial with $15.5Bln, $6bln and $5.7bln trading on iTraxx Main, iTraxx Crossover and iTraxx Financial Senior (ITXES) respectively. It is interesting to note that when a sector is in the spotlight then the trading activity explodes as evidenced by the intense 2 way flow on iTraxx Financial Senior. With the focus put on high beta European names since the beginning of the year, there is no doubt that the late iTraxx High Volatility index which was last issued in September 2013 (the most recent series is series 20 on that index) would attract some interest. Who knows whether we will see it make a come back…