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Bill Supply for W/C May 16, 2022


Downtrend Remains Intact


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The broader option complex isn't pointing to elevated volatility in the wake of Fed Chair Powell's Jackson Hole address (scheduled for Friday) and September's FOMC meeting, with the ICE-Bank Of America MOVE index operating within the confines of the recent range.

  • Note that the most recent pullback in the index started after 27 July. A reminder that the index is based upon the weighted average vol. priced in 1-month options covering 2-, 5-, 10- & 30-Year Tsys, so the latest peak and subsequent pullback, which bottomed out in mid-August, cover the period that the Jackson Hole event became embedded in the vol. calculations.

Fig. 1: ICE-Bank Of America MOVE Index

Source: MNI - Market News/Bloomberg

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MNI London Bureau | +44 0203-865-3809 |

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