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US bond investors are bracing for a possible historic swing in yields in the days following the US Presidential Election on November 5, according to the creators of a decades-old measure of volatility. Harley Bassman, who created the MOVE index of expected volatility in the Treasury market in 1994, said options prices showed a swing of about 18 basis points across maturities after the election. He said the expected daily swing over the next rolling month cycle was six basis points. Although this...

2024-10-17 17:32:56