My guest today on the Alpha Exchange is the Convexity Maven, Harley Bassman. Harley joins me at a particularly interesting moment for markets, with long-end Treasury yields backing up, rate volatility elevated and the traditional relationship between stocks and bonds looking increasingly unsettled. We begin with Harley’s argument that the rise in long-term yields is less an inflation story than a trust story. With large fiscal deficits, growing interest expense and an enormous amount of Treasury supply coming to market, he sees investors demanding greater compensation to own long-duration government debt. Add substantial borrowing from AI hyperscalers and a changing global buyer base, and the supply-demand equation for bonds becomes even more challenging. We discuss why Harley thinks the Fed is in a difficult position, how higher real yields are affecting housing affordability, and why changes in the transmission of monetary policy may make the policy rate less powerful than it once was. Harley then gives us a tutorial on the MOVE Index, which he created in 1994 using data extending back to 1988. We discuss what a MOVE reading above 100 actually means, how today’s volatility compares with history, and why seemingly extreme levels can sometimes simply represent a return to an older market regime. We finish with options, forward rates, equity-market flows, and the conditions Harley believes could finally make higher rates matter for stocks. I hope you enjoy this episode of the Alpha Exchange, my conversation with Harley Bassman.
My guest today on the Alpha Exchange is the Convexity Maven, Harley Bassman. Harley joins me at a particularly interesting moment for markets, with long-end Treasury yields backing up, rate volatility elevated and the traditional relationship between stocks and bonds looking increasingly unsettled.
We begin with Harley’s argument that the rise in long-term yields is less an inflation story than a trust story. With large fiscal deficits, growing interest expense and an enormous amount of Treasury supply coming to market, he sees investors demanding greater compensation to own long-duration government debt. Add substantial borrowing from AI hyperscalers and a changing global buyer base, and the supply-demand equation for bonds becomes even more challenging.
We discuss why Harley thinks the Fed is in a difficult position, how higher real yields are affecting housing affordability, and why changes in the transmission of monetary policy may make the policy rate less powerful than it once was.
Harley then gives us a tutorial on the MOVE Index, which he created in 1994 using data extending back to 1988. We discuss what a MOVE reading above 100 actually means, how today’s volatility compares with history, and why seemingly extreme levels can sometimes simply represent a return to an older market regime.
We finish with options, forward rates, equity-market flows, and the conditions Harley believes could finally make higher rates matter for stocks.
I hope you enjoy this episode of the Alpha Exchange, my conversation with Harley Bassman.