2024-03-19 13:00:00 ET
Summary
- Implied volatilities fell across most asset classes last week as CPI inflation came in stronger than expected, reinforcing the Fed’s cautious stance.
- The probability of a June rate cut fell from 65% to 51%, with the market now expecting less than 3 rate cuts this year (~2.8 to be exact, down from ~6 at the start of the year).
- Interest rate volatility led the decline, with the MOVE Index down 3 nms and falling to near a 1-year low of 97 bps vol.
By Mandy Xu
Weekly Market Commentary: March 18, 2024
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Rates Volatility Nears 1-Year Low Ahead Of FOMC