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The Advanced Traders’ Edge: Use CVOL to Decode Complex Treasury Movements

16 Oct 2024
At-a-glance
  • CME Group Volatility Index (CVOL), built on actively traded liquid options, reveals volatility insights to help manage event risk.
  • CVOL offers a more nuanced and comprehensive view of volatility.
  • The indices are compliant with EU & UK Benchmark Regulation (BMR).
  • Additionally, they are in adherence with the International Organization of Securities Commissions Principles for Financial Benchmarks  (IOSCO Principles).
  • Assess the shift in market dynamics and adjust strategies accordingly.

Superior structure for superior insights: CVOL construction

Not all volatility is the same

Exhibit 1. Difference in volatility calculations for 10-Yr Treasury Yield (futures)

Exhibit 2. Difference in log variance and normal variance

Exhibit 3. CVOL and skew for 10-Yr Treasury during nonfarm payroll August 2024

Use CVOL

CME Group Volatility Index

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