The creator of the US Treasury Volatility Index: The bond market will take a storm after the US election

U.S. bond investors are bracing for a possible historic swing in yields in the days following the Nov. 5 US Presidential Election, according to the creators of a decades-old volatility indicator. Harley Bassman, who created the MOVE index, an expected volatility indicator for the Treasury market, in 1994, said options prices showed a swing of about 18 basis points in yields across maturities after the election. The expected daily swing over the next one-month rolling cycle is six basis points, he said. While moves of this magnitude have been seen several times in recent years, particularly in 2022 and 2023 when the Federal Reserve is raising interest rates, Bassman said it was unusual for options indexes to predict such moves.