Volatility in bond and commodity markets has almost doubled after the shock US election result that wrong-footed investors and traders around the world.

The sharp upward moves come on the back of comments from Australian regulators such as RBA Deputy Governor Guy Debelle, ASIC Chairman Greg Medcraft and APRA chairman Wayne Byres to expect more volatility.

But while volatility in bond markets have spiked, traditional measures of equity market volatility such as the CBOE’s VIX (also known as the fear index) have eased, confounding market watchers who had been predicting the opposite.

Investors may have just been looking in the wrong place however, with data from research house T3 Index showing that the expected volatility from US Treasuries and German Bunds has almost doubled with oil futures showing similar moves.

Simon Ho, executive director of T3 Index, said the expected volatility of US and German bond yields had risen in lockstep with each other, as measured by a sharp rally in T3’s YLDVOL Treasuries Index and its YLDVOL Bund Index.

To read the AFR article, click here.

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