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2025-07-31 00:22:39
[Goldman Sachs: US Long-Term Interest Rate Volatility Reflects Fiscal Concerns] Goldman Sachs strategists stated in a report that US interest rate fluctuations show a contrast between a sharp drop in front-end interest rate volatility and volatility at the long end of the tail curve. Due to fiscal concerns, "the risk premium in long-end volatility is more pronounced than in direct yields." Over the past month, despite "persistent macroeconomic uncertainty and undercurrents of concerns about the independence of the Federal Reserve," front-end implied volatility has continued to compress - possible drivers include increased clarity on tariff risks and "slowing underlying inflation trends in the United States." The strategists wrote that compared with previous interest rate cycles, the compression of front-end volatility has limitations, and volatility selling strategies face more two-way risks.
