Treasuries Volatility Gauge At Nine-Month High on War Effect

Volatility in US Treasuries jumped to a nine-month high as the Iran war fanned inflation concerns and upended traders’ expectations on the Federal Reserve’s policy path.

The ICE BofA Move Index, often referred to as the “fear gauge” of the bond market, climbed to levels last seen in June as elevated oil prices stoke inflation fears, hurting the real return on Treasuries and limiting their haven appeal.