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Executive Summary

October 31st was the most active day in U.S. Treasury market history, with $1.54 trillion of volume traded. While month-end volume spikes are nothing new, the activity capped off a month of volatility catalyzed by a stronger than expected jobs report on October 4 that saw the MOVE index jump 24% in a single day.

Methodology

Coalition Greenwich continuously gathers data and insights from U.S. Treasury market participants, including asset managers, hedge funds, primary dealers, market makers, and trading platforms. The data, once aggregated, normalized and enhanced, is analyzed by our market structure research team who identify key areas of change and the likely direction of volume, holdings, market share, and other trends in the coming months.