Move Along: Bond Volatility Analysis

Deutsche Bank analysis suggests that risk assets remain resilient to rising yields because bond volatility, as measured by the MOVE index, remains low and 'orderly.'

Key Takeaways

• 1.The MOVE index, which measures implied volatility in US Treasury options, remains relatively contained despite higher yields.
• 2.The current rate sell-off is considered 'orderly' and highly correlated with oil prices, preventing a broader market dislocation.
• 3.Technical factors, specifically QIS strategies selling rates volatility, have helped suppress bond market volatility.

Table of Contents

• MOVE Along: Deutsche Bank Says 'Nothing To See Here' In Bond Vol... For Now

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