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Volatility Maven Harley Bassman Sees Risks in Bond-Market Tranquillity

  • Low volatility ‘is not the match, it’s the gasoline,’ he says
  • MOVE Index creator also points to low rates, flat yield curve
Harley Bassman
Harley Bassman
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Harley Bassman invented the MOVE Index, Wall Street’s most widely watched benchmark for U.S. Treasury market volatility, and views its current levels near record lows with trepidation.

The Merrill Option Volatility Estimate Index, which Bassman created while working at Merrill Lynch & Co. in the early 1990s, isn’t a recession indicator. But low volatility tends to run with a dangerous crowd, including a flattening Treasury yield curve and tightening credit spreads.