Volatility

Ranking in priority only behind the duration and curve shape decisions, volatility analysis is critical in evaluating securities with embedded options (e.g., callable agency bonds and mortgage-backed securities). The focus of this research is to identify those times when volatility is trending or when it is at/near long-term range extremes and, thus, whether it is appropriate to be long or short volatility. The following reports are intended to assist the investor in making such determinations.

Dorcas Garcia Design / Giuseppe Turitto