July 22, 2025 — At a time of increased volatility in the U.S. Treasury market, interest-rate investors are relying on precise, real-time “vol” data to implement new strategies and manage risk.
The cycle of elevated volatility in U.S. Treasuries, which began when the U.S. Federal Reserve started raising interest rates in 2022, has lasted longer than the period of volatility following the 2007-2008 financial crisis. Given those conditions, it’s not surprising that almost all the interest-rate market investors taking part in a new research study from Crisil Coalition Greenwich now monitor volatility (vol) to some extent, and more than 80% monitor vol at least daily. About 60% of those investors also trade volatility and of these, the vast majority do so to manage risk in their portfolios, and 44% do so to actively speculate on volatility direction.
“The quality of volatility indices for U.S. Treasuries has become a critical factor for global markets,” says Kevin McPartland, Head of Research at Crisil Coalition Greenwich Market Structure & Technology and author of Understanding the Importance of Measuring U.S. Treasury Volatility. “The best hedging strategy or insight into the market’s direction could be for naught if the benchmark used to implement those strategies is flawed.”
Real-Time Data and Computing Power
Until recently, limited data meant that broad-based U.S. Treasury volatility benchmarks had only end-of-day or infrequent daily updates—an approach that is wholly ineffective in today’s fast-moving market. Access to deeper datasets has allowed for rate volatility metrics that examine finer slices of the market in real time, allowing market participants to take on new strategies and better hedge risk.
Investors primarily want two things from volatility indices: real-time updates and the ability to measure volatility at different points on the curve. While daily measures of these and other volatility metrics have been in place for decades, it is only recently that sufficient timely data and compute power have existed to calculate and distribute their values in real time.
“Increasingly liquid options markets across multiple expirations, strikes and strategies have enhanced this data and improved volatility calculations greatly, allowing investors to react to news and market events more quickly,” says Kevin McPartland. “As AI and other new technologies improve these capabilities even further, investors will place an even larger premium on high-quality real-time volatility data.”
Understanding the Importance of Measuring U.S. Treasury Volatility analyzes how volatility data is used and measured by market participants, if and how they trade volatility, and what improvements they’d like to see in their volatility metrics.