2-year realised volatility rises 17 basis points, a 4.4-sigma move
2-year realised volatility rose 17 basis points on Friday to 78 basis points, 4.4 times its typical move over the trailing 60 observations.
- Reading
- 77.85 bp
- Observed
- 28 Aug 2026
- Standard deviations
- 4.38
What it means
That is the largest move in the trailing 60 observations.
How it was measured
Board of Governors of the Federal Reserve System, H.15 constant maturity yields, retrieved from FRED. Change scored against the trailing 60 observations, 28 August 2026.
Series: 2-year realised volatility