Introduction to the CBOE/CBOT 10-year U.S. Treasury Note Volatility IndexSM
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.
Press Release - May 23, 2013 - CBOE Begins Disseminating New Volatility Index On CME Group's 10-Year U.S. Treasury Note Options Contract
VXTYN History, 2008-2013
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
More Index Charts
Link to more Index Charts
Links for More Up-to-date Price Information
Price Quotes Page
Spreadsheets with Historical Price Data
Historical Daily Prices for VXTYN
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.