fnancial institutions. We show that the 10-year Treasury yield's forward-looking volatility, a VIX-style measure that is a … volatility of crude oil prices over the near term. Using monthly data from 2003 to 2020, we document that higher implied … volatility in the 10-year U.S. Treasury derivatives market predicts declining oil prices and higher forward-looking volatility in …

This paper investigates US Treasury market volatility and develops new ways of dealing with the underlying interest … rate volatility risk. We adopt an innovative approach which is based on a class of model-free interest rate volatility (VXI …) indices we derive from options traded on the CBOE. The empirical analysis indicates substantial interest rate volatility risk …