Convexity hedging was evident recently in the tightening spread between a 10-year interest rate swap and the 10-year Treasury yield. Tighter swap spreads meant that the differential between the ...

CVOL Convexity Convexity is defined as the ratio of CVOL divided by the market’s at-the-money (ATM) implied volatility metric, which is included in the CVOL suite.

The convexity of Euro futures has been cycling around 1.05, its long-term mean and median since October 2013. Andrii Yalanskyi. By Dr. Mark Shore and Michael Copeland. At a Glance.

Convexity isn't fixed, and it also isn't linear, so in some cases, a bond's secondary market price may move very dramatically; in others, it might not respond as quickly.

Convexity measures the relationship between bond prices and bond yields, which shows how a bond’s duration changes with interest rates.

Negative convexity occurs when the shape of a bond's yield curve is concave. Most mortgage bonds are negatively convex, and callable bonds usually exhibit negative convexity at lower yields.

The graph below displays the convexity of our 10-year 2% muni near par (calculated by shifting the yield curve 30 basis points). Above 103 the convexity is roughly 1.0, and then it begins to ...

To take on convexity, we need to first grasp what’s known as duration. As interest rates drop, bond prices will rise and vice versa. The extent of the move is typically larger for bonds with a ...

You get what you pay for, and if contemporaneous convexity is what you are looking for, then options are probably the most cost-effective way of getting it. Editorial Standards Reprints & Permissions ...

Convexity analysis alone may have recommended selling $250b in securities, but $100b of the duration issues were addressed elsewhere in the balance sheet so only $150b in MBS's needed to be sold.

In a few recent columns, we’ve talked about duration and convexity in the context of changing market prices.  They are some of the most misunderstood and misused terms in finance, and ...