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Costs to Hedge Against a Deeper Selloff in US Bonds Are Soaring
['Edward Bolingbroke', 'Min Read']
Yahoo Finance - Business Finance, Stock Market, Quotes, News
Investors are hedging in both 10- and 30-year tenors through a range of option structures around September Treasury puts.
The ICE BofA MOVE Index, a proxy of Treasury market volatility, has remained comparatively subdued despite the recent climb in yields.
Flows on Friday showed investors targeting a 10-year yield move toward 4.8%, roughly 10 basis points above its current level.
The price of that option — purchased between 23 to 37 ticks — has soared and stood at 75 ticks on Friday.
Larger option flows seen since the Fed meeting have targeted a 10-year yield as high as 4.9% and a 30-year yield rising to as much at 5.42%, just below the 2007 high.