Cboe Global Markets has begun publishing intraday values for its 20+ Year Treasury Bond ETF Volatility Base Point (VIXTLT) Index.
The VIXTLT index allows market participants to track the volatility of the U.S. Treasury market in real time for the next 30 days. It serves as a complementary metric to the VIX index, uses the same methodology and allows investors to see how equity and bond market volatility react to each other during different volatility regimes. These insights could help make more informed decisions, the company said.
Cboe said it developed the index in response to growing demand for a method to measure volatility in the U.S. Treasury market, sparked by recent bond market volatility and high inflation. VIXTLT is available in basis point volatility values and is intended to serve as an absolute measure of volatility, it said.
The calculations are based on listed options on the iShares 20+ Year Treasury Bond ETF (TLT), a highly liquid ETF composed of US Treasury bonds with a remaining maturity of over 20 years and a relatively high duration.
Rob Hocking, head of product innovation at Cboe, said of the new index: “The launch of the VIXTLT index is another milestone in Cboe’s offering of timely and transparent forward-looking volatility measures. Market participants have long been looking for a VIX-like indicator of U.S. Treasury bond volatility, and with the upcoming U.S. election and the expected Federal Reserve policy shift, interest in this asset class remains high.”
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