10-year realised volatility
How far the ten-year yield has actually moved over the trailing month, in annualised basis points. This is the substitute for a licensed implied volatility index, and the difference is the point: implied volatility is the price the options market puts on movement that has not happened, so it gaps higher on the morning of a shock while this series only registers the shock after it has passed through the window. Read it as a description of the month behind, and expect it to be late at a turn.
- Latest
- 88.93 bp
- As of
- 1 Oct 2026
- Standard deviations
- 2.08
- Percentile
- 97th percentile
30 days to 4 Oct 2026 · 58.28 bp to 90.13 bp