TYVIX Index, Measure of Interest-Rate Volatility, Rises for the 8th Day in a Row

The CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (with a new ticker symbol: TYVIX℠ rose today (Wednesday) for the 8th trading day in a row. TYVIX measures the expected volatility of the price of 10-year Treasury Note futures. TYVIX futures also are available for investors.

As shown in the charts below, since April 24, the daily closing values of the TYVIX Index rose from 4.89 to 6.53 (a 34% rise) and the interest rates on the 10-year U.S. Treasury notes rose from 1.91% to 2.23% (a 17% rise).A - TVIX and int rates
The recent rise in interest rates and the TYVIX Index was accompanied by a fall of about 10% in prices for the iShares Barclays 20+Year Treasury ETF (ticker TLT) since April 20; see the one-month TLT ETF price chart below.D- TLT


In a recent Barrons.com column entitled “Is Bond Sell-Off Sparked by Bearish Billionaires?” author Amey Stone wrote:

“… The selling pressure doesn’t have an obvious cause. But David Ader of CRT Capital has been musing lately that a spate of bearish calls by billionaires, including Bill Gross, Jeffrey Gundlach, Warren Buffett and Leon Cooperman may have something to do with it. He wrote in a note to clients early Tuesday: ‘In light of the most recent data, and lack of it overseas, it’s hard to grasp an immediate rationale beyond big names touting big views which, presumably, they’ve had on before they let the rest of us in on it.’”


  • The TYVIX index measures the expected volatility of the price of 10-year Treasury note futures over a one-month period.
  • TYVIX provides a measure of expected volatility specific to the fixed-income market. This is important because, historically, the volatilities of equities and Treasuries have often followed distinct paths.
  • The index is calculated from CBOT’s options on 10-year Treasury futures using the same methodology<http://www.cboe.com/micro/vix/vixwhite.pdf> as the VIX®, the most widely followed benchmark of volatility in the broad U.S. stock market.
  • TYVIX represents the variability of percentage changes in the price, as opposed to the yield of, 10-year Treasury notes. Price and yield volatility are related to each other through duration, and yield volatility is typically higher than bond price volatility.
  • Historical data on the TYVIX index since 2003 can be found on CBOE at Historical TYVIX Daily Prices<http://www.cboe.com/publish/scheduledtask/mktdata/datahouse/VXTYNDailyprices.csv>.
  • The 10-year Treasury is closely aligned with a number of other heavily traded fixed-income assets, including U.S. Treasuries, interest-rate swaps and mortgage-backed securities; 10-year futures and options are the traditional hedge vehicle for these instruments.
  • Many analysts and market participants expect volatility in the U.S. Treasury and corporate bond market will pick up significantly when the Federal Reserve begins to “lift off” from its policy of ultra-low interest rates later this year.
  • The TYVIX index is a real-time tool that professional money managers, traders of related financial markets, analysts and reporters can utilize to gauge market expectations for future interest rate moves.
  • TYVIX futures serve as a natural hedge to volatility in the fixed-income markets, especially relevant during times of uncertainty over the next Federal Reserve move, economic conditions, or upcoming supply due to federal  funding  needs.
  • TYVIX can experience big moves in a short period of time. Here is a list of the days on which TYVIX moved (up or down) more than 20% -19-Mar-2009               -29.7%
    3-Sep-2004                 -23.0%
    2-Aug-2013                 -21.3%
    14-Mar-2012               21.1%
    12-Jun-2007                21.6%
    15-Oct-2014                22.3%
    2-Dec-2013                 28.3%
    26-Jul-2007                 32.8%
    6-May-2010                47.0%For more information, please visit www.cboe.com/TYVIX<http://www.cboe.com/TYVIX