[pmart123]

I’m not sure how I get your logic? I do think the US bond yields have a large discrepancy versus other developed market yields, but convexity greater increases as yields fall towards zero. So how is that behavior similar to a deep ITM option?

[rolltiide]

the only similarity is that a deep ITM option is an asset that decreases in value in one way while gaining in value in another way, due to the same forces.

a negative yielding bond - or a bond going towards negative yield - decreases in value one way while gaining in a value another way, the more it gains in value the deeper the negative yield goes.