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Credit and Financial Stress
Realized volatility of US Treasuries
38cool
Now 64 basis points (annualized) | Data for Oct 2026
Hot and cold describe position, not good or bad: warm does not mean a fall is coming, and an extreme reading does not mean a quick reversal. We describe history only, with no buy or sell advice.
What it is
Bond volatility: what is measured, and why it matters
What it measures
The standard deviation of daily changes in the US 10-year Treasury yield within each month, annualized (in basis points).
Why it matters
When rates swing widely, the discount rates used to value every asset become unstable.
Public substituteWe use this in place of “US Treasury volatility index (MOVE)”. The MOVE index is derived from Treasury option prices and reflects the rate swings markets expect; this site calculates how much the US 10-year Treasury yield actually moved each day over the past month. Both measure how much Treasury yields are swinging, but one looks at expectations and the other at what has already happened, so the numbers differ. They measure similar things, but they are not the same number.
Standard deviation of daily yield changes within each month, annualized.
Where it stands now
Position over time
Data: Calculated by this site from daily 10-year Treasury yields in Federal Reserve H.15, via FRED (Federal Reserve Bank of St. Louis). Positions: our calculation.
coldcoolneutralwarmhotHatched = earlier periods that were also cool
When it was here before
Earlier cool periods (11), plus the current one
US stocks after it began, cumulative1 yr2 yr3 yr
Feb 1972–Feb 197425-month period, cool in 11 of those months1 yr+8.6%2 yr−11.2%3 yr−23.9%
Jun 19761-month period, cool throughout1 yr−2.5%2 yr−4.1%3 yr−0.1%
Aug 1977–Jun 197811-month period, cool in 5 of those months1 yr+6.3%2 yr+9.9%3 yr+26.3%
Jul 1991–Dec 199218-month period, cool in 4 of those months1 yr+9.2%2 yr+17.6%3 yr+18.7%
Apr 1995–Oct 19957-month period, cool in 2 of those months1 yr+27.4%2 yr+50.4%3 yr+119.0%
Mar 1997–Aug 199818-month period, cool in 4 of those months1 yr+35.9%2 yr+61.8%3 yr+82.1%
Nov 1999–Feb 200340-month period, cool in 7 of those months · 2000 Dot-com bubble1 yr−0.9%2 yr−18.8%3 yr−34.6%
Jan 2005–Apr 200728-month period, cool in 18 of those months1 yr+8.2%2 yr+20.5%3 yr+16.7%
Nov 20091-month period, cool throughout1 yr+10.2%2 yr+12.7%3 yr+28.2%
Apr 2011–Nov 201444-month period, cool in 21 of those months · 2011 Euro debt crisis1 yr+4.1%2 yr+18.0%3 yr+40.0%
Jan 2016–Dec 202172-month period, cool in 37 of those months · 2018 February stock sell-off and 2020 Covid outbreak1 yr+18.6%2 yr+45.4%3 yr+35.9%
Sep 2024–now26-month period, cool in 9 of those monthsStill under way
For each period, the changes 1, 2 and 3 years after it began are cumulative and measured from its first month; “What happened next” is measured from every cool month, so the two give different numbers. The events named beside each period are major events of that time, not necessarily related to the readings here.
What happened next
How US stocks moved after earlier months with Bond volatility cool
Bars: median cumulative changeEarlier months with Bond volatility cool, excluding the current period (111)All months (659)
1 yr later
+9.4%down in 24% of cases
+11.4%down in 24% of cases
3 yr later
+26.4%down in 28% of cases
+31.4%down in 16% of cases
5 yr later
+54.3%down in 26% of cases
+58.5%down in 18% of cases
Median of the deepest drop below the starting month within the next 5 years: −5.3% for months with Bond volatility cool; −5.1% for all months.
The cool months come from a small number of market episodes (11), and neighboring months are not independent events; rises and falls are all listed. This is the historical record, not a forecast. “US stocks” means the S&P 500 price index compiled by Professor Shiller (monthly average, excluding dividends).
Where Bond volatility went next
Later positions of Bond volatility, after past months that were cool, like now
Median position
Back to neutral (40–60)
Still no warmer than cool
1 yr later
50neutral
31%
34%
3 yr later
60neutral
25%
25%
5 yr later
52neutral
23%
32%
Has hot or cold lined up with later returns?
No clear link in the past
1971–2021: average yearly change in US stocks over the next 5 years
Hottest 20%
+11.3%a year
All months
+8.6%a year
Coldest 20%
+7.6%a year
There is no clear relationship between hot or cold and what came next. The gaps between the bars are not consistent across months (rank correlation below 0.25); this is a record of the past, not a forecast.
When rates swing widely, discount rates for all assets become unstable, and risky assets come under pressure together
This issue: Bond volatility at 38 (cool), World stocks at 72 (warm) — Bond volatility below normal, World stocks above normal, in line with the common explanation (this is an inverse link).
●○○Not visible in our dataAgreement −0.15 · in step in 35 of 45 5-year periods
In most periods the two moved the way the common explanation says, but their highs and lows do not line up over the whole history, so overall no relationship is visible.
Bond volatility and Financial stress are often linked: both measure how fearful markets are, so the same shock makes both jump. They share a common source, so we do not draw a link between them.
Values
Values over time
Unit: basis points (annualized). Data: Calculated by this site from daily 10-year Treasury yields in Federal Reserve H.15, via FRED (Federal Reserve Bank of St. Louis).
Data and sources
Where the data come from and how they are calculated
Source
Calculated by this site from daily 10-year Treasury yields in Federal Reserve H.15, via FRED (Federal Reserve Bank of St. Louis)
Frequency
Monthly
Positions start
Dec 1971
Method
Position = the percentile of the value itself within its own history