Man Behind the MOVE Index Predicts Post-Election Furor in Bonds
- MOVE Index creator Bassman says it anticipates historic swings
- Index jumped as its one-month-ahead view extended past Nov. 5
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Bond investors are bracing for historic yield swings in the days after the Nov. 5 US presidential election, according to the creator of a decades-old volatility gauge.
Options prices anticipate that Treasury yields across maturities will move about 18 basis points immediately after the election, according to Harley Bassman, who created the MOVE Index of expected Treasury market volatility in 1994. For the rest of the rolling one-month period, the expected average daily move is 6 basis points, he said.