U.S. bond volatility index creator: bond markets to take US post-election by storm

US bond investors are bracing for what could be historic volatility in yields in the days after the November 5 US presidential election, according to the creator of a decades-old volatility index.Harley Bassman, who in 1994 created the MOVE index, an indicator of expected volatility in the Treasury market, said the index would be a good place to start. He said the option prices suggest there will be about an 18-basis-point swing in Treasury yields across maturities after the election. Over the next rolling one-month cycle, the expected average daily swing is 6 basis points, he said. While swings of this magnitude have been seen many times in recent years, particularly in 2022 and 2023 when the Fed raises interest rates, Bassman said it's unusual for an options index to predict this kind of volatility.