I have always had an affinity for short-term interest rates, and it is from my days as an index arbitrageur.
When most people think of index arbitrage, they think of someone scalping stock index futures against an underlying basket of stocks, either electronically or by hand in the old days. But there is more to it than that.
Typically, an index arbitrageur is short a bunch of stock index futures and long the basket of underlying stocks. If you have this position on, you are exposed to a massive amount of interest rate risk. If interest rates dip, you are happy; if interest rates rise, you are unhappy. Often, the profits or losses (P&L) from interest rate movements will dwarf whatever you are doing in intraday trading. There is dividend risk, too, which is not trivial to hedge.
So, at the age of 27 or 28, I found myself spending a lot of time reading speeches from Fed officials, trying to figure out whether they would cut or hike rates. In those days, from 2001 to 2003, the Fed was cutting rates, and we had a lot of rate P&L. In 2004, things got much harder, but by then, I was on to trading ETFs, and we had effectively shut down the index arb business. Others were better at it than we were.