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Not Much MOVEment Alongside Recent Repricing


The ICE-Bank of America MOVE index remains comfortably shy of cycle highs even after the recent data/Fedspeak-inspired shift in Fed-dated OIS markets, although the index remains elevated vs. “normal” post-GFC levels and has bounced from YtD lows seen in early February. Friday’s lack of follow through when it came to breaches/tests of YtD highs in 5+-Year Tsy yields will have capped vol. at the backend of last week, while the minutes covering the most recent FOMC meeting and PCE data suite providing the focal points during the current holiday-shortened week.

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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