UPDATE 1-Market stress signals start to flash amber
Adds MOVE index, NEW YORK dateline; updates prices
LONDON/NEW YORK, March 9 (Reuters) - A surge in oil prices to more than $100 a barrel, as investors brace for a more drawn-out war in the Middle East, rippled across markets on Monday, sending various stress indicators to multi-month highs.
Here are some of the notable levels in midday New York trade.
Benchmark Brent crude rose as high as $119.50 a barrel, and was last up 10% on the day at $102.53. LCOc1 O/R
Short-dated government bond yields surged, especially in Britain. The two-year gilt yield was up 117 basis points on the day, set for its biggest daily increase since late August 2024. GB2YT=RR GB/
Two-year euro swap spreads, which capture the premium on the fixed side of an interest-rate swap, used by investors to hedge against rates risk relative to bond yields, narrowed to as little as -19 basis points, the lowest since July 2025.
U.S. two-year swap spreads USDSR2YOTS=TWEB tightened, or turned more negative, on Monday to -18 basis points, the lowest level since December. That number reflected lower demand for Treasuries as opposed to interest rate swaps, another risk-free asset.
Wall Street's fear gauge - the VIX index of U.S. stock market volatility - jumped to as high as 35.3, its highest since April 2025's tariff turmoil .VIX. The European equivalent reached 38.12, again its highest since April. .V2TX MKTS/GLOB
The MOVE index, the benchmark for U.S. rate volatility, was 81.26 last Friday, the highest since mid-November. The move reflected expectations that Treasury yields across most maturities will move an average of five bps per day in either direction over the next 30 days.
In corporate bonds markets, the cost of insuring against defaults jumped. The iTraxx Europe main index, for investment-grade bonds, jumped to 66 bps, its highest since May 2025. ITEEU5Y=MG The crossover index for high yield, or junk debt, rose to over 300 bps, its highest since June. ITEEU5Y=MG
The euro dropped past 0.90 Swiss francs EURCHF=EBS for the first time since 2015's volatility around the franc's depegging. FRX/
Three-month euro cross-currency basis swaps, or the relative premium for swapping foreign currencies into dollars, fell to 5.5 bps from 9.88 bps on Friday, the lowest since mid-December. Late last week, that was at nearly 12 bps. EURCBS3M=PMID.
Three-month euro risk reversals, which indicate trader demand for the euro versus the dollar, hit their lowest since February 2025 EUR3MRR=.

