What do we mean by increasing/decreasing curvature? I was under the impression it meant unchanged short/long-term rates but increasing/decreasing medium rates - is that correct?
If so, how do we think about this in the context of a condor?
I am a bit late but maybe this is still useful.
Increasing (decreasing) curvature can happen in 2 ways:
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Short end rates and long end rates go down (up), while the middle range remains constant, think of a straight line and then you pull down left and right, and the curvature increases then
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Short and long end rates remain constant but the middle range goes up (down).
Hope this helps
Increasing curvature means the curve is more concave.
Decreasing curvature means the curve is more linear.
In terms of a condor, you want a long condor (long 2s and 20s, short 5s and 10s) when the yield has greater curvature or flattens. You want a short condor (short 2s and 20s, long 5s and 10s) when the curve steepens.