Treasuries
Implied vol is near the top of its 1-year range — the market is actively pricing risk in this asset. VXTLT is at the 90th percentile of its past year.
Close of Wednesday 14 OctoberLoadingStressed · vol bid
VXTLT14.90+0.36 today
Downside risk for US Treasuries52of 100
CalmHigh
13.3% of past weeks in this state had a drop of 1.5 times the usual weekly range or more. State: its implied vol in the top decile of its year.
Implied, VXTLT14.9090th percentile
Realized, 30 days10.89what TLT actually moved
PremiumImplied minus realizedPositive means options price more movement than TLT is delivering, so sellers are paid. Negative means protection is cheap relative to actual movement.+4.0167th percentile
Implied against realized volatility, with the price
VXTLT is implied volatility on TLT, the long-bond ETF, so it compares directly with how much TLT actually moves.Implied, VXTLTRealized, 30 daysTLT price, right scale
TLT78.89+0.66% today
TrendBelowits 50-day average
MOVE, the Treasury market standardWhy MOVE is shown separatelyMOVE measures Treasury volatility in basis points, a different unit from realized percent volatility, so it is read by its percentile, not compared with realized.99.0694th percentile, −2.0% today
Tested signals for US Treasuries
Only what passed this market's own backtest (2004–2026) is published, so the list is short on purpose.
Risk signal. Triggers when VXTLT is at or above the 90th percentile of its past year.
Cross-market signal. Triggers when MOVE is at or above the 80th percentile of its past year.
The premium (implied minus realized) is shown as context. Its timing is untested for this market, and in the S&P 500 study its level was not a timing signal. Historical frequencies, not investment advice.