Re:Yield Curves Invert in U.S., U.K
by pmart123 on Wednesday August 14, 2019 @09:56AM
(#20695572)
I’m not sure how I get your logic? I do think the US bond yields have a large discrepancy versus other developed market yields, but convexity greater increases as yields fall towards zero. So how is that behavior similar to a deep ITM option?
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the only similarity is that a deep ITM option is an asset that decreases in value in one way while gaining in value in another way, due to the same forces.
a negative yielding bond - or a bond going towards negative yield - decreases in value one way while gaining in a value another way, the more it gains in value the deeper the negative yield goes.