ICE BofAML U.S. Bond Market Option Volatility Estimate IndexTVC
Description
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Idea for MOVE: - Bond markets seeing volatility after the Quad Witching and FOMC double whammy. - US02Y 2x ATR spike: - Expecting turbulence the rest of the month.
GLHF - DPT
Trade active
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Interesting chart in the 5s30s:
Trade active
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This took some time to materialize but here it is:
Comment
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After RBA unexpectedly refused to buy their own government's bonds, Australia's 2 year bonds experienced a "VaR shock inducing, bond crushing 5-sigma move, and the biggest one day surge in 2Y yields since the Lehman crisis!" according to Tyler Durden.
Comment
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AU02Y with >10 sigma move:
Excited to see the spillover effects in the bond market.