March 2, 2025. The market opens to a sea of red following news of a U.S. attack on the Iranian regime. Treasuries bleed in anticipation of inflationary supply shocks. Trend-following strategies are in disarray. Tail strategies have not yet reacted. And yet, carry, of all factors, soars. What’s most interesting is that this strategy is not well known for its convex properties. In fact, carry is mor...