I plotted the 20-trading day volatility for 10 year treasury yield the past half year.
I adjusted the daily vols to monthly with vol * sqrt(20)
When I look at TYVIX history:
Noting that the duration on the 10 year treasury is 8.6… Which implies a yield vol of 3.94 / 8.6 = .458
Am I interpreting this correctly to think that the tyvix is pricing 10 year treasury vol above what we’ve seen historically for the past 6 months?
Also looking at Merrill’s MOVE Index… The current price is 47.35, which is kind of in line with what I’m interpreting on the TYVIX… I think?
So historically both MOVE and TYVIX have been almost double from what the backwards looking vol measure says about the 10 year treasury.
Am I reading into this right?
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