Woe to the traders and investors navigating today’s markets. As yields have swung up, down and sideways, only those with accurate directional timing have been fortunate enough to buy into strength or sell into weakness.
Once a Treasury portfolio is established, complexity increases. Decisions around trade sizing, allocation shifts, risk controls to mitigate losses and profit-taking strategies quickly take center stage. This uncertainty demands time, experience and access to high-quality information as traders and portfolio managers work toward clarity.
Underlying all of these decisions is market volatility. While historical price movements and ranges can offer context, they're inherently backward-looking. Implied volatility—derived from options—offers forward-looking insight into market expectations. However, extracting and interpreting that data requires extensive option pricing inputs, analytics and visualization tools. Additionally, as options approach expiration, comparing volatility across consistent time horizons becomes increasingly difficult.
The CVOL Treasury Yield Volatility Index (TVL) solves this challenge with elegance and efficiency, opening new opportunities for trading, strategy design and risk management.
What's TVL?
TVL is constructed using deep liquidity from options on 2-Year, 5-Year, 10-Year and Bond futures. It serves as a robust benchmark composite volatility index, representing a perpetual 30-day yield volatility profile for the length of the yield curve.
TVL uses a variance-based calculation, enabling not only core volatility estimation but also second-order attributes such as skew. These additional outputs allow market participants to quickly assess how options markets are pricing asymmetric risks or directional bias.
We construct TVL by first creating individual CVOL indices for each underlying maturity. The process begins with selecting liquid option expiries centered around 30 days to maturity. Then, out of the money (OTM) calls and puts are identified to form a representative fitting universe.
By capturing variance from both upside and downside strikes, TVL enables transparent decomposition into UpVar (upside volatility) and DnVar (downside volatility). Skew is reported as both a raw difference and as a ratio (UpVar/DnVar), offering valuable insight into directional pricing bias.
Each constituent CVOL index is available independently, while TVL aggregates them into a single, comprehensive volatility benchmark. We calculate this composite using a metric called Dollar Vega Open Interest ($VOI). This uses open interest (OI) across all options in a market and applies a dollar Vega component to derive TVL as a volatility-weighted average of its components.
End-of-day CVOL values are available across multiple access points. For those needing higher-frequency insights—such as for intraday models, volatility monitoring or event-driven strategies—real-time CVOL data is available and updates every 15 seconds.
Got TVL?
CVOL indices, including TVL, can be accessed in four ways depending on user needs: web-based visualization, daily file delivery via CME DataMine, CME Direct and real-time updates via Google Cloud Pub/Sub.
Use cases
Asset manager: Frequently checks CVOL on the website to assess when to adjust portfolio exposure. Subscribe to end-of-day files via DataMine and incorporate TVL into dashboards and client presentations.
Risk manager: Uses CVOL daily files to monitor volatility and skew. Replaced internal models due to cost and instability with TVL’s robust volatility measure calculated from deep and liquid markets.
Researcher and media analyst: Subscribed to end-of-day and real-time CVOL files to study behavior around economic releases and FOMC decisions.
Hedge fund options trader: Uses Google Cloud Pub/Sub to access real-time TVL and constituent indices. Applies data to price and execute strategies like vertical spreads, risk reversals and condors.
Get started
Whether building models, backtesting strategies or ingesting real-time signals, accessing CVOL data begins by selecting the right delivery path. We offer two fully supported methods tailored to distinct use cases: CME DataMine for historical depth and Google Cloud Pub/Sub for real-time integration. Both platforms are designed to help market participants operationalize CME Group benchmark volatility indices with minimal friction and robust support.
Historical access via CME DataMine
We provide historical CVOL data for both end-of-day and real-time CVOL data through CME DataMine, its centralized platform for licensed access to archival market data. After registering and logging into the portal, users can locate the CVOL dataset by searching the catalog and navigating to the appropriate listing. The platform allows users to configure their requests based on specific CVOL indices, date ranges and delivery preferences, with data provided in CSV format for compatibility with common analytics environments. In addition, DataMine delivers files through robust technology offerings including a REST API, Amazon S3 Transfer, SFTP and email. Each record includes relevant metadata such as product identifiers, expiry references and calculation timestamps, enabling seamless integration with pricing models, volatility surface tools and regime analysis frameworks. Users can receive files both historically and through an ongoing subscription for daily updates.
Scalable delivery via Google Pub/Sub
Our Data Services Portal is the centralized platform for onboarding and accessing its suite of real-time and historical data products, including the CVOL family of volatility indices. To begin, users register for portal access and request entitlements for CME Smart Stream products. The portal streamlines compliance, licensing and technical onboarding while providing documentation, API credentials and support tools.
For real-time CVOL data, we deliver via Google Cloud Pub/Sub—a robust, cloud-native messaging system that supports high-throughput and event-driven architectures. After licensing approval through the Data Services Portal, we provision topic-level access to the user’s Google Cloud project. Clients can then subscribe to CVOL topics using GCP tools like the gCloud CLI, Pub/Sub client libraries or the Cloud Console.
Together, CME DataMine and Google Pub/Sub offer a complete data access ecosystem—combining the historical context needed for research with the real-time responsiveness required for trading and risk. By integrating CVOL through these channels, users can bring our volatility benchmarks directly into the heart of their market analytics, strategy development and decision-making frameworks.
Use it
The ability to quantify and respond to shifting conditions is a decisive advantage. The CVOL family of indices—anchored by TVL—offers a standardized, transparent and liquid-derived measure of Treasury market volatility. Whether used for real-time execution, portfolio hedging or research, these tools enable more precise decision-making across asset management, risk oversight and trading functions. As volatility becomes a core dimension of alpha generation and risk control, integrating CVOL into daily workflows is no longer optional—it’s essential.
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
