Abstract This paper examines the behaviour of option-implied asymmetries in bond market expectations around monetary policy actions of the European Central Bank. The results indicate that market expectations are systematically asymmetric around monetary policy actions. Around policy tightening, market participants attach higher probabilities for sharp yield increases than for sharp decreases. Correspondingly, around loosening of the policy, markets assign higher probabilities for sharp yield decreases than for increases. Furthermore, the results demonstrate that market expectations are significantly altered around monetary policy actions, as asymmetries in market expectations tend to increase before changes in the monetary policy stance, and to decrease afterwards.