Complacent · fragileBond-market vol two ways: VXTLT (TLT-option IV, comparable to realized) and MOVE (bp-vol, the market standard, shown for level/percentile only).
US Treasuries · Downside-Risk Index
0 · tested calm100 · max measured risk
LOW · P(TLT −1.5σ week) 4.8% · n=395
state: own IV ≤25th pctile
odds of a >1.5σ down week in this asset — turbulence odds, not a direction call
Tested Signals · US TreasuriesWhat this isThis asset's OWN evidence — backtested on its own history (2004–2026), era-split, and independently re-verified, same protocol as the VIX playbook.Why only 3 signalsBecause only 3 survived this asset's own backtest. We publish what passed — not a longer list of things that didn't. More join if they pass future studies.The honest scopeWhat's proven here is a RISK map (when this asset's violent weeks cluster). No directional timing signal survived testing in any asset — sizing and timing stay with you.
3 signals passed this asset's backtest · 2004–2026
RISK MAP · trigger: VXTLT ≤ 25th percentile
Premium (IV − RV) level and trend are shown below as context — per-asset premium timing is untested here, and in the S&P study the premium's level was NOT a timing signal. Historical odds, not advice.
Implied vs Realized · TLT
Options pay little over what the asset actually moves — a thin cushion for vol sellers.
Implied vol · VXTLT10.172nd %ile · VXTLT · TLT IV−0.58 on the day
Realized vol · RV3010.2921-day annualized · TLTwhat the instrument actually moved
Vol premium · IV − RV−0.120th %ilepositive = options richer than movement
Underlying · TLT85.51−0.01% on the daytrend down vs 50-day avg
IV (VXTLT)RV30 (realized)TLT price (right scale)
Treasuries · MOVE
Rates · board gauge · 20th %ile of 1y
MOVE level66.79−0.31 (−0.5%)different unit — read the percentile, not the level