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Treasury Note Volatility Index

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The CBOE has started disseminating values for a new volatility index, the CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTNY). I explain the basic features of the index in the video here, and note some differences with the Merrill Option Volatility Estimate index (MOVE) and the implied volatility in options on the popular iShares Barclays 20+ Year Treasury Bond ETF (TLT).

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This is a good time to launch an index like this because changes in the outlook for U.S. Treasury notes and bonds are at the forefront of the minds of so many investors.

Options on 10-year note futures are the only suitable underlying candidate for an index like this, and it is encouraging to see the CME Group (CME) and the CBOE (CBOE) working together on what should be a mutually beneficial benchmark.

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