Interest Rate Volatility and the New VXTYN Index – up 57% Since April 25th

Interest rate volatility recently has been a hot topic in the news, as the new CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) rose from 3.9 on April 25th to 6.6 on May 29th. On May 30th the VXTYN closed at 6.11 (up 57% since April 25th).

A May 30th story on Reuters noted that –

“… Yields on Treasuries have surged this month as more upbeat sentiment about the economy has prompted investors to sell bonds should the Fed pull back on its massive bond purchases. The recent rise in yields helped the Treasury sell $29 billion in seven-year notes in this week’s final sale of $99 billion in coupon-bearing debt. …”

According to Bloomberg, the yields on May 30th were 3.27% for 30-year Treasury Bonds, and 2.1% for 10-year US Treasury notes.

Tr yields May 30

A recent news story in Pensions & Investments noted that —

“U.S. investors will pull an estimated $1 trillion — or 13.5% of U.S. assets professionally managed in fixed income — out of core, core-plus, government and fixed-income index funds over the next three to five years because of fears over rising interest rates, according to Casey, Quirk & Associates.”

On May 30th the TLT Treasury bond ETF closed at 114.84 (its closing value on June 1, 2012 was 130.36).



CBOE offers options with physical settlement and American-style exercise on a number of interest-rate ETFs, including the following:

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