US Treasury Volatility Index Creator: Bond market will storm after US election

The financial media reported that the creator of a volatility index with a history of decades said that U.S. bond investors are preparing for the historic volatility that may occur in the days after the U.S. presidential election on November 5th. Harley Bassman created the MOVE index, an expected volatility index for the bond market, in 1994. He indicated that options prices suggest that there will be an approximately 18 basis point fluctuation in bond yields across maturities after the election. He stated that the expected daily fluctuation over the next rolling month period is 6 basis points. Although this magnitude of fluctuation has occurred several times in recent years, especially in 2022 and 2023 when the Federal Reserve raised interest rates, Bassman said that the options index predicting this kind of volatility is unusual.