CBA index shows Australian bond volatility stays subdued as yields rise
TLT•Commonwealth Bank of Australia introduced an implied-volatility index for Australian government bonds, with analysis showing yields rose over the past year without a matching increase in market uncertainty.
1. Bond volatility index
Commonwealth Bank of Australia flagged a new implied-volatility index for Australian government bonds, modeled on the U.S. MOVE gauge for Treasuries. Its analysis found that firmer cash-rate expectations tended to lower uncertainty, while a rising term premium typically lifted volatility.
