Ratesdailybp

2-year realised volatility

How far the two-year yield has actually moved over the trailing month, in annualised basis points. The front end reprices on the policy path, so this rises when the market is arguing about the next few meetings. It is measured in basis points rather than as a percentage return because the two-year sat near a tenth of a per cent for years, where a percentage return on a one basis point move reads as ten per cent. Backward-looking, and a substitute for the implied volatility index this product does not licence.

Latest

106.83 bp

As of

1 Oct 2026

Standard deviations

2.19

Percentile

99th percentile