Betting that Spanish government bonds will outperform their Italian peers has been a handsome trade for investors so far this year, especially since the Italian election's inconclusive outcome. Holders of Spanish bonds were up 4.16% as of March 8, versus a 0.28% return for Italy, according to Barclays indexes.

But is that justified? With the gap between 10-year yields on Italy and Spain closing in on zero, investors should pause for thought.