The market for interest rate derivatives is a HUGE market (~$500 trillion notional exposure) that is incredibly important, yet it remains unknown to all but a smattering of industry insiders. I was lucky enough to speak with one such insider - Nancy Davis, a veteran derivatives trader and the founder of the The Quadratic Interest Rate Volatility and Inflation Hedge ETF (IVOL) $IVOL ETF, the first exchange traded fund to hold interest rate derivatives (link to original interview:

Nancy plays "above the rim" and gave me a tour into her wild wild of yield curves, forward swap curves, and interest rate swaptions (the option to enter into a swap). She argued that the rates market was "calling bullshit" on the Federal Reserve and was pricing in rate hikes contrary to the assurances of Fed Chair Powell. The future path of rates is obviously the most important question right now, on everyone's minds so @Nick Correa I decided to take a deeper dive into Nancy's analysis.

I can't promise you will be a "swaption cognescenti" like Nancy by watching this video - I certainly am not. But it is our hope that you get closer to understanding the path of a colossal yet esoteric market that impacts every asset class under the sun.

Please see below for in-depth charts, and please comment any questions you may have.

Link to original interview:


This chart (The Breakdown Exclusive 😎) shows the U.S. Treasury Yield Curve vs. the U.S... (More)