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 next 30 days of volatility in the US Treasury market in real-time. It serves as a complementary measure to the VIX Index, using the same methodology and allowing investors to see how equity and bond market volatility react to one another during different volatility regimes. These insights could help to produce more informed decisions, the company said.
Cboe has developed the index in response to growing demand for a way to measure US Treasury market volatility, it stated, which has been prompted by recent bond market volatility and high inflation. Available in basis point volatility terms, VIXTLT has been designed to serve as an absolute measure of volatility, it added.
Calculations are made using listed options on the iShares 20+ Year Treasury Bond ETF (TLT), a highly liquid ETF composed of US Treasury bonds with remaining maturities exceeding 20 years and a relatively high duration.
On the new index, Rob Hocking, head of product innovation at Cboe, said: “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 sought a VIX-like gauge for US Treasury volatility, and with the US election and the Federal Reserve’s expected monetary policy shift looming, interest in this asset class remains high.”
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