According to the creator of a decades-old volatility indicator, bond investors are preparing for the historic fluctuations in yields that may occur a few days after the US presidential election on November 5. Harley Bassman created the Move Index, an index of expected volatility in the treasury bond market, in 1994. He said that the option price shows that the yield on treasury bonds of various maturities will fluctuate by about 18 basis points after the election. He said that in the next one-month rolling cycle, the expected average daily fluctuation is 6 basis points. Although fluctuations in this magnitude have occurred many times in recent years, particularly in 2022 and 2023 when the Federal Reserve raised interest rates, Bassman said the options index predicted such fluctuations were unusual.

Zhitongcaijing · 10/17 16:25
According to the creator of a decades-old volatility indicator, bond investors are preparing for the historic fluctuations in yields that may occur a few days after the US presidential election on November 5. Harley Bassman created the Move Index, an index of expected volatility in the treasury bond market, in 1994. He said that the option price shows that the yield on treasury bonds of various maturities will fluctuate by about 18 basis points after the election. He said that in the next one-month rolling cycle, the expected average daily fluctuation is 6 basis points. Although fluctuations in this magnitude have occurred many times in recent years, particularly in 2022 and 2023 when the Federal Reserve raised interest rates, Bassman said the options index predicted such fluctuations were unusual.