New CBOE/CBOT 10-year U.S. Treasury Note Vol. Index (VXTYN) by Matt Moran

May 23, 2013 — Today a press release announced that CBOE began disseminating values for a new volatility benchmark index using futures options data on CME Group’s 10-year U.S. Treasury note contract.  The CBOE/CBOT 10-year U.S. Treasury Note Volatility IndexSM (ticker symbol VXTNYSM) is the first volatility index based on U.S. government debt to be calculated and disseminated by CBOE.

CBOE and CBOE Futures Exchange (CFE) plan to offer trading on the 10-year Treasury Volatility Index in the future.  The VXTYN Index has the potential to become a popular gauge if there is a future rise in both interest rates and interest rate volatility.  

CBOE disseminates more than 20 volatility indexes (see, and in recent years I received requests for a gauge of interest rate volatility.

VXTYN Index Price Chart

Here is a VXTYN daily high-low-close price chart with data for early 2013.

VXTYN IndexOther Long-term Charts

As noted above, the new VXTYN Index is designed to reflect expected volatility of CME Group’s 10-year U.S. Treasury note contract.

Below are charts from Bloomberg that show (1) estimates of yields for 10-year U.S. Treasury notes since 1962, and (2) historic volatility of Citigroup Treasury indexes since 1995.  The yield on 10-year Treasuries reached 15.8% in September 1981.The historic volatility for the Citigroup 10-year Treasury Index has risen above 20 in 1995.

These two charts are presented for general information purposes only, and investors are encouraged to read the contract specifications for the CME Group’s 10-year U.S. Treasury note contracts to learn more about the actual Treasury instruments that are used by CME Group.  

1-yr Tr Yields

Hist Vola Treasury Indexes

Disclosures  – CBOE Volatility Index®, VIX®, CBOE®, and Chicago Board Options Exchange® are registered trademarks and CBOE/CBOT 10-year U.S. Treasury Note Volatility IndexSM and VXTYNSM are service marks of Chicago Board Options Exchange, Incorporated (CBOE). The methodology of the CBOE Volatility Index is owned by CBOE and may be covered by one or more patents or pending patent applications. All other trademarks and service marks are the property of their respective owners.

The posts on this blog are opinions, not advice.
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