U.S. Treasury Volatility Increases Before Fed Statement

Treasury market volatility climbed to a five-month high before a Federal Reserve statement tomorrow and Scotland’s vote on independence the next day.

Bank of America Merrill Lynch’s MOVE Index, which measures price swings in Treasuries based on options, rose to 66.09 yesterday, the highest level since April 2. It’s still less than the average of 91.02 for the past decade. Yields climbed to the highest level since July yesterday on speculation the central bank will indicate it’s moving closer to raising interest rates.

“There is an increasing possibility that the Fed will change its stance,” said Kei Katayama, a bond investor in Tokyo at Daiwa SB Investments Ltd., which has the equivalent of $45.71 billion in assets. “Scotland is another reason behind increasing volatility.”

Bloomberg

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