27 March 2015
US Fixed Income Weekly
DGX and DVX across different market regimes Term structure of 2Y vol
220 ... ''' .cia..x...'''' ' ' 1- 1 - T -t - r - r 160 s 26-Ma r-15
200 —•• • 26.1vb r-13
, , 1 • 1 1 140 — 26- Nta r-10
180 t -t-
160 _ .... 120
140
1 •
i
120
• • -• - 1 -
. • _. •
100
1 I l i
80 -t---4- ' - -
lti
60
i ft i I
40 40
00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15
Sane Deunene ant Saco twestioeilent
1
l
Ratios of 2Y to 10Y tenors (quartiles, 5-year history) ETerm structure of 10Y vol
125 s 26-Mar-15
1.4
2Y Tenors/1(N Tenors • Mean • Last n 26-Mar-13
115
26-Ma r-10
105
11 • 11 #
95 ••• 41.
0.8 T 85
75
0.4
65
0.2 55
1m 3rn 6m 1y 2y 5y 7y 10y 5
0 10 15 20
San band* 84•nk San* Dandy. &rest
Ratios of 30Y to I 0Y tenors (quartiles, 5-year history) Term structure of 30Y vol
100 s 26-Ma r-15
2.4
30Y 7*nm/10Y Tenors Winn 0Last •• a 26-Ma r-13
r.
22 26-Mar-10
2 48K
1.8
1.6
14
70
1.2
1 60
0.8
S
0.8
1m 3m 6m lY 2Y SY 7Y 101 0 5 10 15 20
Swot Dandy. and ScA,:o Artniche &DM
Deutsche Bank Securities Inc.
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