…… traders are increasingly worried, after the worst week for stocks since Jan 2016, what further Treasury selling could mean for equities as a result of a potential violent deleveraging of risk-parity strategies, which will be forced to significantly reduce their gross exposure following last week’s drubbing. Yet with everyone’s attention now on deleveraging risk-parity funds, as well as momentum-chasers and CTAs “wreaking havoc” in the short-end, there is one potential source of Treasury selling that the market has largely forgotten about: convexity hedgers.
https://www.zerohedge.com/news/2018-02-04/will-convexity-hedgers-unleash-next-round-treasury-selling
