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Another volatile day -- Tsys were...>

US TSYS SUMMARY
US TSYS SUMMARY: Another volatile day -- Tsys were inching back to post
ECB/Twist story highs recently as US$/Yen continues to slide, but are in retreat
again (coincides w/Tsy auction annc but likely unrelated). Not surprisingly, VIX
vol index higher but off highs (+1.66 at 13.27 vs. 13.67H), VIX option flow not
exceptionally high, standouts are upside call buying, not much over 30k in any
given strike in first 2 expirys.
- Note, carry-over weakness in equities added to recent buying across curve in
Tsys, risk-correlations still not in force, mkts still appear to be taking stock
in Fed Powell's comments late Wed while poor emerging market performance added
to global equity weakness in general. Implied vol trades steady after
exceptional overnight put buying volumes
- On equity moves, Societe Generale issued a strategy piece regarding equities
"Exuberance Revisited" (ala Greenspan "irrational exuberance" perhaps). Soc Gen
notes that some portfolio capitulation may have added to recent run-up in
equities, joining the flock in asset allocation while global equity sale in face
of higher yields weighing.

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