Tag Archives: BofA Warns Treasury Regime Change Is Coming

ZeroHedge – BofA Warns Treasury Regime Change Is Coming – 27 April 2014

ZeroHedgeNext week marks the beginning of May and the potential for a regime change in US Treasuries. As BofAML’s Macneil Curry notes, historically the month of May coincides with a jump in Treasury volatility. A seasonal analysis of implied Treasury volatility using the MOVE Index (Merrill Option Volatility Estimate) shows that May is traditionally the second strongest monthly of the year after December. With the MOVE Index also showing signs of basing, and 10yr Treasury yields stuck in an increasingly unsustainable narrow range, this May is unlikely to disappoint. While the long term trend for US 10s suggests that Treasury yields should climb higher, in the near term we prefer to take a wait and see approach, watching for a break of the range extremes at 2.825% and 2.591%.

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