Volatility/Convexity Premia Fall To Lowest YTD Levels On Benign Inflation Data

Cross-asset implied volatilities declined across the board on the back of a run of 'goldilocks' inflation prints (soft CPI, flat PPI) that has reinforced hopes the Fed is done hiking. Despite the retracement of 30-year Treasury yields to 10-year highs, interest rate volatility as measured by the MOVE Index continues to edge lower and is now trading at 36th percentile lows vs 89th percentile highs 2 weeks ago.