• Bank of America's rates desk, per Investing.com, calls the 'summer carry bias' largely a myth — realized rate volatility shows no reliable seasonal summer dip.
• Implied volatility does soften modestly around midyear, the one seasonal pattern the data actually supports.
• Ten-year U.S. Treasuries screen roughly 50 basis points cheap to estimated fair value, per the same analysis.
• August 2007, 2015 and 2024 carry-trade reversals show thin summer liquidity can still amplify shocks even without a volatility 'law.'
• Dollar-pegged Gulf currencies and oil-linked equity benchmarks make U.S. rate-vol and Middle East-risk calls directly relevant to regional carry positioning.

Bank of America's rates desk finds no reliable seasonal law behind the widely repeated 'summer carry bias': realized interest-rate volatility shows no consistent July-August dip, per analysis reported by Investing.com on July 26, 2026, though implied volatility does soften modestly around midyear. The desk stays short volatility and long carry into summer — a stance whose stated principal risk, a Middle East escalation that spikes oil prices, sits closer to dollar-pegged, oil-linked Gulf portfolios than to almost any other market.

The Verdict: Myth, Not Seasonal Law

Bank of America's rates strategists, in analysis reported by Investing.com on July 26, 2026, find no reliable evidence for the claim that carry trades earn calmer, better returns every July and August. Historical data show seasonal swings occurring throughout the calendar year, with some of the largest interest-rate moves landing before summer even starts. The bank's conclusion: the 'summer carry bias' functions as trader folklore rather than a tradable, repeatable pattern.

Where Seasonality Does Show Up

One seasonal pattern does hold up, per the same analysis: implied volatility — the market's priced-in expectation of future swings — tends to fall modestly around midyear, even where realized volatility does not. The analysts also flag that 10-year U.S. Treasury notes currently screen roughly 50 basis points cheaper than estimated fundamental fair value, a gap reported by Investing.com rather than a forecast, shaping how much carry a long-duration position can still collect.

August's Reputation for Blowups

The same report catalogs three episodes — August 2007, August 2015 and August 2024 — when carry-trade positions unwound sharply during the supposedly quiet summer stretch. Thinner trading volumes and fewer scheduled economic releases do not eliminate risk; per the analysts, they can instead magnify it, since fewer market participants are present to absorb a shock when one arrives. That history is the empirical counterweight to any seasonal comfort the 'bias' narrative implies.

The Gulf Read-Through

None of this is a U.S.-only story. Gulf currencies including the Saudi riyal and UAE dirham remain pegged to the dollar, so U.S. rate-volatility assumptions flow directly into the funding cost of dollar- and sukuk-denominated carry positions built against Gulf paper. Equity benchmarks including the Tadawul and ADX carry heavy weightings in oil-linked names, meaning the Brent-crude channel Bank of America cites as its principal risk is, for Gulf portfolios, not a tail risk but a core one.

What to Watch

Bank of America's stated risk to staying short volatility and long carry through summer is an escalation in Middle East conflict severe enough to spike oil prices, per the Investing.com report — a scenario Gulf-market participants sit closer to than most. Confirmed data show no seasonal volatility discount investors can bank on; what happens to that call rests on geopolitics, not the calendar. This is analysis, not investment advice, and reflects no recommendation to buy, sell or hold any security.