A follow-up to the French Spread Playbook, reviewing what happened when the expected pullback never arrived. The paper examines the front-end and futures-volume evidence behind the carry-trade unwind, then revises the entry, sizing and invalidation framework.
From the unwind to the revised rules
The analysis distinguishes positioning pressure from a lasting change in sovereign risk. It revisits the France–Italy triggers, carry and repo assumptions, volatility-adjusted sizing and the budget calendar, with explicit conditions that would invalidate the thesis.
The pause never arrived
Why neither original trade triggered despite the sharp widening in France–Germany.
A carry trade breaks
What two-year spreads and Euro-OAT futures volumes reveal about forced selling.
The budget moves the date
How the fiscal timetable changes the window for a political resolution.
The trades, revised
Entry conditions, reduced risk sizing, financing and a more persistent invalidation test.
Full paper
Views are the author's own as at 4 October 2026. Market levels use Friday 2 October closes; calculations are the author's on the stated assumptions. Written in a personal capacity for a professional audience. Nothing here constitutes investment advice.