Michael Green(@profplum99):Appreciate the shout out, @ConvexityMaven. But if you think I’m accepting the “may” qualifier, you know me not. Harley and I are both highlighting the growing convexity risk that is created by yield levels affecting the price. Harley is spot on that the risk is a growing effective supply of duration and convexity risk created by a shift in both expected Fed behavior and changing sources of demand. Since this supply increase is not matched by demand in passive bond products, Kevin Warsh is getting a signal of market structure, not macroeconomic information. The Endgame approaches for a passive bond market with the potential for an inverse March 2000.

2026.10.13 16:55

Appreciate the shout out, @ConvexityMaven. But if you think I’m accepting the “may” qualifier, you know me not. Harley and I are both highlighting the growing convexity risk that is created by yield levels affecting the price. Harley is spot on that the risk is a growing effective supply of duration and convexity risk created by a shift in both expected Fed behavior and changing sources of demand. Since this supply increase is not matched by demand in passive bond products, Kevin Warsh is getting a signal of market structure, not macroeconomic information. The Endgame approaches for a passive bond market with the potential for an inverse March 2000.

ConvexityMaven@ConvexityMaven

2026.10.13 12:33

New Commentary..... The CBOT Bond future is Negatively Convex such that a further rate rise could create the equivalent of Scott Bessent selling $110 Billion twenty-year bonds into the market. Today, I detail the construction of this futures contract and posit that this could be a contributing factor to why interest rates have risen so quickly. More specifically, be careful that 6% on the twenty-year rate could become a Convexity Vortex. @profplum99 @LukeGromen @dampedspring @jam_croissant @biancoresearch @EconguyRosie @ErikSTownsend @tracyalloway

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