The document discusses the impact of the Federal Open Market Committee (FOMC) meeting on market volatility and interest rates. It highlights the increased probability of rates moving both higher and lower, affecting confidence in directional positions. The withdrawal of stimulus poses risks, particularly in less liquid markets like credit, where rapid unwinding could lead to spread widening and panic selling. The document suggests buying tail risk at the short end of the curve and hybrid S&P calls and puts based on different rate responses to the Fed. It also notes the concentration of volatility and tail risk at the short end of the curve, influenced by Fed communication and market flows.
doj/DataSet10/EFTA01385936.pdf
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