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Historical Volatility
2 Year Note Historical Volatility

 

 

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Yearly
Average
1990           1.3 1.7 1.9 1.3

1.2

 1.2 1.5

1.4
1991 1.3 1.5 1.8 1.3 0.9 1.6 1.0 2.2 0.6 1.3 1.0 1.4

1.3
1992 1.8 1.9 2.1 2.6 2.3 1.7 2.2 1.6 2.1 2.2 1.9 1.3

2.0
1993 1.8 1.8 2.0 1.0 1.2 1.8 1.5 1.0 1.8 0.9 1.6 1.0

1.5
1994 1.6 1.5 1.5 2.6 2.4 2.0 2.3 1.9 1.4 1.4 1.8 1.9

1.9
1995 2.0 2.6 1.7 1.2 2.0 3.3 1.9 1.6 1.7 0.9 1.2 1.4

1.8
1996 1.4 2.3 3.4 2.2 1.7 1.9 2.5 1.9 1.8 1.7 0.9 1.5

1.9
1997 1.5 1.4 1.1 1.5 1.2 1.2 1.1 1.5 1.2 1.9 0.6 1.2

1.3
1998 2.1 1.2 0.9 1.7 1.0 1.1 0.5 1.0 2.4 2.8 1.8 2.2

1.5
1999 1.6 1.3 1.1 1.4 1.6 1.6 1.2 1.8 1.6 1.5 1.0 1.3

1.4
2000 1.5 2.0 1.3 2.3 1.4 1.4 1.5 1.1 0.9 1.1 1.1 1.7

1.5
2001 2.6 1.8 2.0 2.5 1.7 1.7 1.5 1.5 3.3 1.4 3.7 2.7

2.2
2002 2.4 1.6 2.2 1.2 2.2 2.3 2.6 2.7 2.0 2.9 1.8 1.4

2.1
2003 1.5 1.1 2.0 1.7 1.4 2.2 1.8 2.4 2.1  2.4 1.9 2.1 

1.9
2004 1.9 1.4 1.7 2.3 2.4 2.2 1.6 2.0 0.7 0.4 0.4 1.1

1.5
2005 1.1 1.1 1.0  1.3  1.6  1.2  0.9  1.3  1.0  0.8  1.3  1.0

1.1
2006 1.0 0.6 1.1 1.2 0.8 1.2 1.2 1.0 1.0 1.3 1.4 1.1

1.1
2007 0.8 1.3 1.3 1.2 0.7 1.1 1.8 2.4 2.0 1.7 2.5  2.5

1.6
2008  2.4  3.9  4.3  2.5  2.5  3.5  2.9 1.9  5.7 3.9 2.3  1.7

3.1
2009 1.5

 1.7

 1.7   1.5 1.1  2.9  1.6 1.4  0.9  1.4     

1.6
Mean 1.7 1.7 1.8 1.7 1.6 1.9 1.7 1.7 1.8 1.7 1.5 1.6

 
High 2.6 3.9 4.3 2.6 2.5 3.5 2.9 2.7 5.7 3.9 3.7 2.7

 
Low 1.1 0.6 0.9 1.0 0.7 1.1 0.5 1.0 0.6 0.4 0.4 1.0