Duration is the primary measure of interest rate sensitivity — it is the percentage change in price for a 1% change in interest rates. However, practitioners also look at convexity, which is the ...

State Street SPDR US Large Cap Low Volatility Index offers sector diversification and higher yields vs. SPY. Learn why LGLV ...

Gordon Scott has been an active investor and technical analyst or 20+ years. He is a Chartered Market Technician (CMT). Negative convexity exists when the shape of a bond's yield curve is concave. A ...

Georgios Skoufis derives a model-independent convexity adjustment formula for the valuation of a discrete arithmetic average risk-free interest rate swap. The convexity adjustment is expressed as a ...

Nick Lioudis is a writer, multimedia professional, consultant, and content manager for Bread. He has also spent 10+ years as a journalist. Cierra Murry is an expert in banking, credit cards, investing ...

CME Group’s volatility index CVOL, is a suite of implied 30-day forward volatility indices measuring 30-day forward volatility across all option strike prices of key futures markets. Higher convexity ...

Roula Khalaf, Editor of the FT, selects her favourite stories in this weekly newsletter. Wading into the Treasuries sell-off and negative convexity debate this Monday is Deutsche Bank. Their central ...