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Historical Volatility
5 Year Treasury Note Historical Volatility
|
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Yearly |
|
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1988 | 1.9 | 5.6 | 3.0 | 3.4 | 4.4 | 3.3 | 3.8 | 5.1 |
3.8 |
||||
| 1989 | 3.5 | 3.2 | 4.2 | 5.5 | 6.0 | 5.2 | 3.8 | 5.6 | 3.5 | 3.7 | 3.6 | 3.2 |
4.3 |
| 1990 | 3.3 | 4.8 | 3.8 | 2.8 | 4.8 | 3.8 | 3.3 | 5.2 | 2.7 | 3.3 | 2.8 | 4.2 |
3.7 |
| 1991 | 3.9 | 2.9 | 4.2 | 3.1 | 2.4 | 2.7 | 2.3 | 4.3 | 1.9 | 3.4 | 2.3 | 3.2 |
3.0 |
| 1992 | 4.3 | 3.9 | 4.6 | 4.4 | 4.7 | 3.2 | 4.8 | 4.6 | 4.9 | 5.8 | 4.5 | 2.9 |
4.4 |
| 1993 | 3.9 | 5.0 | 4.9 | 3.0 | 2.7 | 3.6 | 3.3 | 2.4 | 4.3 | 3.0 | 3.9 | 2.8 |
3.6 |
| 1994 | 4.1 | 3.6 | 4.0 | 7.0 | 6.6 | 4.7 | 5.6 | 4.4 | 3.7 | 3.3 | 4.6 | 3.9 |
4.6 |
| 1995 | 4.0 | 5.0 | 3.9 | 2.4 | 4.2 | 6.7 | 4.6 | 3.7 | 3.5 | 2.1 | 2.6 | 3.2 |
3.8 |
| 1996 | 3.5 | 5.0 | 7.4 | 5.2 | 4.1 | 4.4 | 5.5 | 4.4 | 3.6 | 3.5 | 1.9 | 3.7 |
4.3 |
| 1997 | 3.2 | 3.4 | 2.6 | 3.4 | 2.7 | 2.7 | 2.4 | 3.7 | 3.3 | 4.1 | 1.6 | 2.7 |
3.0 |
| 1998 | 4.8 | 2.7 | 2.3 | 3.6 | 2.4 | 2.5 | 1.3 | 1.8 | 4.9 | 6.8 | 3.7 | 4.7 |
3.5 |
| 1999 | 3.5 | 3.5 | 2.9 | 3.9 | 4.6 | 4.3 | 3.4 | 4.6 | 4.1 | 3.7 | 2.5 | 3.1 |
3.7 |
| 2000 | 3.9 | 4.9 | 2.8 | 5.1 | 3.7 | 2.9 | 3.4 | 2.4 | 1.6 | 2.4 | 2.7 | 2.9 |
3.2 |
| 2001 | 5.6 | 3.7 | 4.1 | 5.6 | 4.5 | 3.6 | 2.8 | 3.3 | 5.8 | 3.1 | 7.8 | 6.8 |
4.7 |
| 2002 | 4.6 | 3.6 | 5.1 | 2.8 | 4.5 | 4.6 | 5.7 | 6.3 | 5.0 | 6.6 | 5.5 | 3.2 |
4.8 |
| 2003 | 3.9 | 3.4 | 5.0 | 3.8 | 3.3 | 5.4 | 5.1 | 6.5 | 5.4 | 6.1 | 5.2 | 5.1 |
4.9 |
| 2004 | 5.4 | 3.6 | 4.6 | 5.3 | 5.2 | 4.8 | 4.2 | 4.2 | 7.4 | 2.6 | 3.7 | 3.1 |
4.5 |
| 2005 | 2.4 | 3.2 | 3.3 | 3.1 | 3.4 | 3.1 | 2.7 | 3.2 | 2.2 | 2.1 | 3.2 | 2.8 |
2.9 |
| 2006 | 2.3 | 1.7 | 2.9 | 2.6 | 2.1 | 3.0 | 2.6 | 2.0 | 2.3 | 2.9 | 3.1 | 2.6 |
2.5 |
| 2007 | 2.0 | 2.9 | 2.6 | 2.5 | 1.6 | 3.0 | 4.5 | 4.8 | 4.6 | 3.7 | 4.8 | 6.0 |
3.6 |
| 2008 | 5.7 | 7.2 | 8.1 | 5.4 | 5.7 |
6.4 |
|||||||
| Mean | 3.9 | 3.9 | 4.2 | 4.0 | 3.9 | 4.0 | 3.7 | 4.0 | 4.0 | 3.8 | 3.7 | 3.8 |
|
| High | 5.6 | 7.2 | 8.1 | 7.0 | 6.6 | 6.7 | 5.7 | 6.5 | 7.4 | 6.8 | 7.8 | 6.8 |
|
| Low | 2.4 | 1.7 | 2.3 | 2.4 | 1.6 | 2.5 | 1.3 | 1.8 | 1.6 | 2.1 | 1.6 | 2.6 |
|
