Is it a good trade?

 

1. January effect: vol tends to be trending down in Jan

2. Inverted yield curve: funding rate is high, in order to enhance return, investors short vol by buying callables and MBS, which pushes vol down. This can also explain why vol is trending down in last year.

3. Asian central banks diversify their reserve: shifting from UST to other products like MBS, essentially shorting vol.

4. Market positioning: Recently we see UST sold off after strong data, and gradually buying back. Seems that some investors are hedging their long vol position. Is the total market position long?