14 Mar 2024

Interest Rate Volatility Drops Below 100 for the First Time in 6 Months!

The #MOVE index, a key measure of US #interestrate #volatility, has dropped below 100 for the first time since September 2023. This marks a significant shift in market dynamics. While attempts to breach this threshold have been made three times since early 2022, they were short-lived, with volatility bouncing back above 100 each time. For the past two years, the #government #bond market has been in a high volatility regime, making investing in long-term US #Treasuries challenging due to relatively low adjusted yield to volatility. The question now is whether this high volatility regime is coming to an end or if it's just another false alarm. Several indicators suggest that this could be another false signal. Growing uncertainty surrounding #inflation in the US may prompt the #Fed to adjust its monetary policy, potentially implementing a reverse operation twist (and thus steepen the yield curve). Additionally, there's still a positive #carry from #shorting bonds. However, signs of improvement are emerging as well. Recent #auctions have shown that the market is absorbing the supply effectively, and the #correlation between bonds and equities is turning negative again. Could this be a pivotal moment in the US Treasuries market? Let's keep a close eye on how things unfold. Source: Bloomberg #fixedincome #bond

Disclaimer

This marketing document has been issued by Bank Syz Ltd. It is not intended for distribution to, publication, provision or use by individuals or legal entities that are citizens of or reside in a state, country or jurisdiction in which applicable laws and regulations prohibit its distribution, publication, provision or use. It is not directed to any person or entity to whom it would be illegal to send such marketing material. This document is intended for informational purposes only and should not be construed as an offer, solicitation or recommendation for the subscription, purchase, sale or safekeeping of any security or financial instrument or for the engagement in any other transaction, as the provision of any investment advice or service, or as a contractual document. Nothing in this document constitutes an investment, legal, tax or accounting advice or a representation that any investment or strategy is suitable or appropriate for an investor's particular and individual circumstances, nor does it constitute a personalized investment advice for any investor. This document reflects the information, opinions and comments of Bank Syz Ltd. as of the date of its publication, which are subject to change without notice. The opinions and comments of the authors in this document reflect their current views and may not coincide with those of other Syz Group entities or third parties, which may have reached different conclusions. The market valuations, terms and calculations contained herein are estimates only. The information provided comes from sources deemed reliable, but Bank Syz Ltd. does not guarantee its completeness, accuracy, reliability and actuality. Past performance gives no indication of nor guarantees current or future results. Bank Syz Ltd. accepts no liability for any loss arising from the use of this document.

Read More

Straight from the Desk

Syz the moment

Live feeds, charts, breaking stories, all day long.

Thinking out loud

Sign up for our weekly email highlighting the most popular posts.

Follow us

Thinking out loud

Investing with intelligence

Our latest research, commentary and market outlooks