Cboe has moved to expand its intraday Treasury volatility tracking capabilities in the US in the build-up to upcoming regime shifts on the horizon.
The expansion will mean that the exchange will publish intraday values for its 20+ Year Treasury Bond ETF Volatility Basis Point Index (VIXTLT).
The index leverages Cboe’s proprietary VIX Index methodology and provides participants with the ability to track 30-day expected volatility in the US Treasury market in real-time.
Cboe confirmed the expansion of its monitoring capabilities would support participants in the lead up to the regime shift expected to be caused by the election in the US in November, alongside continued interest rate led volatility in the region.
“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,” said Rob Hocking, head of product innovation at Cboe.
“With both the VIXTLT and the VIX indices utilising similar methodologies, investors will be able to gain a more like-to-like view of expected volatility in the bond and equity markets, potentially enabling them to make more informed decisions.”
In light of rising client demand, Cboe confirmed the VIXTLT index is available in basis point volatility terms and aims to provide an absolute measure of volatility. The index is calculated using listed options on the iShares 20+ Year Treasury Bond ETF (TLT).