Bond Market Volatility Plunges to Lowest Since August '14: Chart

A measure of volatility in the $14 trillion Treasuries market signals that bond traders are feeling comfortable after the French presidential election and the Federal Reserve’s meeting last week. The Merrill Lynch Option Volatility Estimate, or MOVE Index, which is derived from over-the-counter options on Treasuries maturing in two to 30 years, dropped to 55.2203 on Tuesday, the lowest level since August 2014. That’s unlikely to change much after Donald Trump’s abrupt firing of FBI Director James Comey: the benchmark 10-year U.S. yield traded in a 2.5 basis point range as of 10:15 a.m. Wednesday.

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