Fall is upon us.

And fall they did.

Like peas and carrots, Kelce and Swift appear quite the inseparable pair.

Another budding romance closer to financial markets appears to be Sam and Mike.

In the face of damning evidence and the flouting of banking basics (banks have runs, NOT exchanges) Michael Lewis appears to have fallen for, who some have dubbed, a Mr. Magoo meets Bernie Madoff grifter.

But this week it is the bond market that falls the hardest, and like Lewis, not for the better.

The below graph shows the MOVE Index, the ‘VIX’ for US treasury bonds.

When it spikes most all assets fall.

Not good as the recent move is Reminiscent of Q1 when rates rose, bonds fell and banks failed.

The MOVE Index reflects option volatility for US Treasuries. So the gauge is NOT linear, it is exponential more like a Richter scale for earthquakes. For the MOVE index, this exponential character arises from gamma associated with options.

What does this mean for investors today?

Monitor the MOVE Index.

Because a reading of 160 is multiples more disruptive than the 18 vol points of today’s 142 reading would imply.

This is why we believe a reading above 160 makes something ‘pop’ in the treasury market, prompting Fed intervention.

While true love and pooled insta followers may keep Travis and Taylor together for the season, a hawkish Fed and rising US rates may prompt the BoJ and BoC to send their US Treasuries packing.

With no love from other central banks that are too busy defending their own currencies, the Fed will truly be the buyer of last resort.

Bitcoin anyone?