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MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
US TSY OPTIONS
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
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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