Unusually Depressed Bond Volatility Begins to Show Signs of Life
- Fixed-income diverging from stock and foreign exchange
- Low volatility unusual for bonds in tightening cycle: BIS
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Volatility in the U.S. government bond market is finally starting to diverge from equities and currencies.
Bank of America’s MOVE Index, a gauge of price swings in the U.S. Treasury market, has risen about 5 points in the last two weeks. The Chicago Board Options Exchange’s VIX Index and JPMorgan Chase & Co.’s currency volatility gauge have both declined in the same period.