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ICE BofAML U.S. Bond Market Option Volatility Estimate Index
Long

Credit - Bonds Volatility Megaphone

By UnknownUnicorn1043646
Updated
Idea for MOVE:
- Bond markets seeing volatility after the Quad Witching and FOMC double whammy.
- US02Y 2x ATR spike:
snapshot
- Expecting turbulence the rest of the month.

GLHF
- DPT
Trade active
Interesting chart in the 5s30s:
snapshot
Trade active
This took some time to materialize but here it is:
snapshot
Comment
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.

snapshot
Comment
AU02Y with >10 sigma move:

snapshot

Excited to see the spillover effects in the bond market.
Chart PatternsmoveUS02YUS05YUS10YUS20YUS30YWave Analysis

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