Libor seems to be drawing people out of the markets.. uncertainty is pushing OI down.. where are they going? binaries? FF? 9705 EDU? How high are short rates going in the next month or two? Anyone have any thoughts?
1) The shrinkage in open interest can be due to reduced volatility, a belief that rates will remain stable and/or traders rolling out of positions into other months. 2) The deferred months appear to be indicating a slight tightening bias. 3) A widening of the TED-spread would discount increased credit diminishment in the future.
Ya I noticed the vol crush... it looks like the deferred months are indicating a significant tightening bias... huge widening between Dec/Red Dec