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Introduction to the CBOE/CBOT 10-year U.S. Treasury Note Volatility IndexSM

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index  
VIX 18.57 0.00
SPX 1904.01 0.00
OVX 29.36 0.00
GVZ 17.27 0.00
VXTYN 5.91 0.00
Delayed Quotes

The CBOE/CBOT 10-year U.S. Treasury Note Volatility IndexSM (ticker symbol VXTYNSM) measures the expected volatility of the price of 10-year Treasury Note futures. The price of these futures is tied by arbitrage to the price of 10-year U.S. Treasury notes, which are a core instrument of the U.S. fixed income market. Futures on 10-year Treasury Notes are the most actively traded of all U.S. futures on U.S. Treasuries.

VXTYN 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 as VIX®. Consequently, VXTYN 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.

Guide to the CBOE / CBOT 10 Year Treasury Note Volatility Index (VXTYNSM Index)

Part I: Introduction to the VXTYN Index
Part II: VXTYN Futures Primer
Part III: Compendium of Empirical Findings

Historical VXTYN Daily Prices
Historical VXTYN Term Structure
Historical Fair Values of VXTYN Futures

Key Links

Press Release - September 4, 2014 - CBOE Futures Exchange To Launch CBOE/CBOT 10-Year Treasury Note Volatility Index Futures November 13
Press Release - May 23, 2013 - CBOE Begins Disseminating New Volatility Index On CME Group's 10-Year U.S. Treasury Note Options Contract
Volatility Indexes

Price Charts

VXTYN History, 2008-2013

Source: CBOE

Relationship between VXTYN and One-Month Changes in Ten-Year Treasury Yield and Thirty-Year Mortgage Rate

Sources: CBOE, Federal Reserve Board

VXTYN and Federal Fund Target Rate

Sources: CBOE, Governors of Federal Reserve System

Volatility Indexes - EVZ VXTYN

Volatility Indexes - VXST VXTYN

More Index Charts

Link to more Index Charts

Links for More Up-to-date Price Information

Price Quotes Page
Advanced Charts

Spreadsheets with Historical Price Data

Historical Daily Prices - Spreadsheet with Closing Prices for Several Indexes
Historical Month-end Prices - Spreadsheet with Closing Prices for Several Indexes
In addition, Market Data Express gives users access to more than 16 years of historical options data

Options Profit-and-Loss Diagrams

* In the Protective Put and Buy-write diagrams, the faint grey line represents an equity position, and the colored "hockey-stick-shaped" line represents the combined stock plus options position. For more details, please click on strategies.

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.

CBOE Volatility Index (VIX)