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COMMANDS Global: GP Symbol: IBM FA
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US Rates Volatility

Rate volatility measured from the MOVE index, the Treasury curve, Fed Funds futures and constant-maturity IV on rate ETFs. Not a swaption surface — we hold no swaption quotes, and every figure below is labelled by its source.
MOVE Index — Implied Rate Vol
70.97 bp Compressed
1D +1.11 1W -2.43 1M -6.12 5Y %ile 12.3
Percentile is the rank of today's close within 1249 sessions of MOVE's own history (2021-08-30 to 2026-08-28) — not a rescaled term-structure slope.
Implied vs Realised — 10Y
MeasureValueSource
Implied (MOVE) 70.97 bp $MOVE
Realised 20d 4.17% $ZNUSD
Realised 60d 3.94% $ZNUSD
The two rows are in different units on purpose: MOVE is basis points of yield vol, realised is percent price vol of the 10-year note future. Read each against its own history — the ratio of the two is not a meaningful number and is deliberately not shown.
Treasury Curve
TenorYield1D1M1Y Trend
3M 3.73% +0.05 +0.06
5Y 4.48% +0.08 +0.10
10Y 4.72% +0.05 +0.06
30Y 5.21% +0.02 -0.00
3M-10Y slope 0.99% 5s30s slope 0.73%
No 2-year yield series is carried, so the conventional 2s10s is absent rather than approximated from the 2Y future — a futures price is not a yield and converting one without the cheapest-to-deliver basis would be a guess.
Market-Implied Policy Rate
3.780 %
Front contract $ZQUSD As of 2026-08-28
100 minus the front 30-day Fed Funds future — the average effective funds rate the market expects over the delivery month. This is the front contract only; a full hike-probability ladder needs the whole futures strip, which we do not carry per-contract.
Rate-ETF Constant-Maturity IV — Duration × Tenor
ETFDurationIV30IV60IV90 IV120HV20ExpiriesAs of
SHY 1-3Y 4.53 3.16 2.54 2.21 1.31 4 2026-08-28
IEF 7-10Y 6.29 5.47 5.84 6.79 5.08 13 2026-08-28
GOVT Broad no snapshot on 2026-08-28 — last good 2026-08-27; chain not refreshed or too thin to price an ATM quote, so IV is withheld rather than interpolated from a frozen chain
TLT 20Y+ 10.79 11.28 12.01 13.14 10.79 27 2026-08-28
TMF 20Y+ 3x 31.75 32.00 32.79 33.87 31.51 11 2026-08-28
This is the closest honest analogue of a swaption grid available to us: option-implied vol by constant maturity (across) against underlying duration (down). It is an ETF proxy, not par-swap vol — the underlyings carry their own financing and roll, and the 3x fund is levered.
IV values are stored as percentage points and only written on days the underlying option chain was actually refreshed. A blank row means the chain loader did not reach that symbol, not that the market was quiet.

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