Treasury volatility drops below past-years average amid Fed meeting

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Source: Bloomberg
A gauge measuring the U.S. Treasury market volatility declined to the lowest level in five months amid speculation that the U.S. Federal Reserve decides to maintain its aggressive monetary easing totalling $85 billion a month on today's policy meeting. The 10-year interest-rate swaps three month implied volatility was 75.22, while the average in last years is 81.41.

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Mon, 28 Oct 2013 10:47:03 GMT

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