Treasury yield volatility shifts to stressed, composite at 0.93
The Treasury yield realised volatility composite read 0.93 on Wednesday, against 0.73 at the previous reading, moving from normal to stressed.
- Reading
- 0.931 composite index
- Observed
- 23 Sept 2026
What it means
The composite averages where realised volatility in the two, ten and thirty-year yields sits within its own trailing history, on a scale where 0 is the calmest reading in the window and 1 the most volatile. Realised volatility measures movement that has already happened, which is a different quantity from the implied volatility an options market prices. The reading rests on 3 series. The normal state had held since 7 August.
How it was measured
Board of Governors of the Federal Reserve System, H.15 constant maturity yields, retrieved from FRED. Composite of 3 series, 23 September 2026.