Introduction to the Cboe/CBOT 10-year U.S. Treasury Note Volatility IndexSM
Note: TYVIX is the NEW ticker symbol for the Cboe/CBOT 10-year U.S. Treasury Note Volatility Index (Formerly ticker VXTYN).
The Cboe/CBOT 10-year U.S. Treasury Note Volatility Index (ticker symbol: TYVIXSM) uses Cboe's well-known VIX® methodology to measure a constant 30-day expected volatility of 10-year Treasury Note futures prices, and is calculated based on transparent pricing from CBOT's actively traded options on the T-Note futures. Cboe Futures Exchange (CFE) recently launched futures on TYVIX, ticker VXTY, which are the first exchange-traded contracts based on interest rate volatility that offer a standardized way of gaining exposure to forward implied interest rate volatility.
The historical patterns of TYVIX in many cases exhibit upward spikes when 10-year Treasury note and futures prices experience large swings, especially on large downswings. Due to this dynamic, VXTY could provide a hedging mechanism for core instruments of the U.S. fixed income market such as mortgage backed securities, and corporate, municipal and government bonds. For historical data ranging back to 2003 please visit the "Data" section below.