Global Stock Selloff Makes Bargains of Treasury Hedges
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Investors are embracing U.S. government bonds amid rising turmoil in the equities market, sending expectations about future volatility to a six-year low.
Implied volatility, a proxy for future swings used to price derivatives, for the iShares 20+ Year Treasury Bond ETF has dropped as much as 44 percent from a June peak. The measure reached the lowest level since October 2007 last week, according to three-month data compiled by Bloomberg on options with an exercise price near the shares. The fund has climbed 4.8 percent this year, compared with a 3.6 percent decline for the Standard & Poor’s 500 Index.