US Treasury volatility may record its largest annual drop since 2009.
TL;DR
A key US bond market volatility index is set for its biggest annual drop since 2009, falling to near 59 as Fed rate cuts ease recession risks, marking one of the steepest declines since 1988.
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On December 30th, against the backdrop of the Federal Reserve's interest rate cut effectively mitigating the risk of economic recession, a key indicator measuring volatility in the US bond market is heading for its largest annual decline since the global financial crisis. As of last Friday, the ICE BofA MOVE index (reflecting expected volatility in the bond market) had fallen to approximately 59, its lowest point since October 2024. This index has been steadily declining from around 99 at the end of 2024 and is projected to record one of the most significant annual drops since data became available in 1988, second only to the crash of 2009. (Jinshi)