Wednesday, May 16, 2012
Is The Pain Over For Bruno Iksil?
Today, for the first time since the advent of the JPM prop trading fiasco last Thursday, the IG9-10 Year skew has diverged, dipping from -3 bps to -5 bps as the index remained flattish while the intrinsics widened by about 2 bps. While hardly earthshattering, this move likely means that either JPM's CIO trading desk is playing possum and is no longer unwinding its original pair trade exposure (either because it no longer has anything to unwind, or because it can't take the pain any more
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