Intriguing RV graphs: Pronounced caution regarding super-long JGBs even vs US/Europe
Key points
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30yr JGB auction passes without incident, but caution regarding super-long JGBs persists; high implied volatility more likely in super-long zone
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Implied volatility for super-long JGB yields higher than historical volatility for cash market yields; persistent high levels stand out even vs US/Europe
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Concerns about not only fiscal expansion, but also about declining JGB liquidity in Japan; this factor could amplify rise in yields during times of shock