Bernanke Calms Treasuries After Taper Concern Drove Yield Surge
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Federal Reserve Chairman Ben S. Bernanke’s pledge to keep interest rates low drove Treasury volatility to the weakest level since he warned a month ago that the central bank may start trimming its bond purchases.
The Merrill Lynch Option Volatility Estimate Move Index fell to 81.92 basis points yesterday, the least since June 18. The figure has fallen from 117.89 basis points on July 5, which was the most since December 2010. The one-year average is 64.55.