US Treasury volatility rises to a nine-month high, with the bond market "fear index" reaching its highest level since June last year

Gate News reports that on March 13, the volatility of the U.S. Treasury market surged to a nine-month high, with the ICE BofA MOVE Index (a measure of bond market volatility, often called the “fear index” of the bond market) rising to its highest level since June last year. The escalation of tensions in Iran has heightened inflation concerns and disrupted traders’ expectations for the Federal Reserve’s policy path. Rising oil prices have further fueled inflation fears, damaging the real returns of U.S. Treasuries and weakening their safe-haven appeal. The 30-year U.S. Treasury yield, sensitive to inflation and government spending dynamics, has reached its highest level in a month, with traders reducing bets on a Fed rate cut in 2026. Both President Trump and Iran have taken provocative stances in the conflict, adding uncertainty to its duration. Jack McIntyre, portfolio manager at Brandywine Global Investment Management, said, “As bond investors, we need to start thinking from a stagflation perspective, which always brings significant uncertainty. Therefore, from a volatility standpoint, I need to be compensated.”