It ‘Plunged More Than 50% In Seconds’: Treasury Vol. Index Hit Lowest On Record Friday

Think back – way back.

All the way back to Friday, which, for those of you who drink like Heisenberg used to drink, probably seems like an eternity ago.

Well Friday’s big news was of course the CPI miss in the US – a datapoint which either i) pissed the Fed off because it undercut the notion that lackluster inflation is “transitory”, or ii) made the Fed happy as it gave them an excuse to walk back excessive hawkishness that threatens to upend rates markets and trigger rolling tantrums.

Whatever you think the Fed’s reaction was, the reaction in markets was lower yields as everyone rushed to price out a September hike, the odds of which fell to 10% following the below consensus print.

Something else worth noting, for those wondering if rates vol. is ever going to pick up again, is that in the seconds just before and just after the CPI and retail sales prints, the TYVIX plunged by more than 50%.

TYVIX

As Bloomberg notes, 2.09 was the lowest level since index data begin in 2003.

“All clear”….

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