ITC – Bund-BTP Friday effect

Someone suggested to us that BTPs are widening because it is Friday and investors are exposed to headline risks so close long positions.

There is some weak evidence of this happening. Below are the median bp spread changes for the Bund-BTP by day of the week (6 mths of data).

Monday: -1.5bp (investors by back)

Tuesday: -0.7bp

Wednesday: +0.7bp

Thursday: +1.1bp

Friday: +1.8bp (closing longs)