Executive summary
The US Treasury bond complex experienced extremely high levels of volatility in March 2020 as the consequences of the COVID-19 virus impacted on the US and global economies. In terms of outright bond prices, observed intraday volatility was the highest in recent years, although intraday moves were not generally as large as those seen during the financial crisis when measured in yield terms. The cost to trade rose in March but by a lower rate than might have been expected, given the significantly higher intraday volatility. It was also noteworthy how quickly the bond market moved back into its normal trading range, despite ongoing uncertainty around the economic impact of COVID-19.
The cost to trade rose in March but by a lower rate than might have been expected, given the significantly higher intraday volatility.
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
