I guess if the expectations of Fed policy get low enough, it will overcome the increase in swaption volatility. (alephblog.com)
The MOVE index suggested that US Treasury volatility was expected to be very low, while the flat swaption skew for the 10 - year Treasury note denoted a low demand to hedge higher interest rate risks, even on the eve of the inception of the Fed's balance sheet normalization (Graph 9, right - hand panel). (kekselias.com)
4) If you want a quick summary of the troubles in the residential mortgage market, look no further than the The Lehman Brothers Short Swaption Volatility Index. (alephblog.com)