Treasury Note Volatility Index
The CBOE has started disseminating values for a new volatility index, the CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTNY). I explain the basic features of the index in the video here, and note some differences with the Merrill Option Volatility Estimate index (MOVE) and the implied volatility in options on the popular iShares Barclays 20+ Year Treasury Bond ETF ...
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Treasury Note Volatility Index,
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