Fixed income markets amount to one of the largest segments of the whole capital market universe. The VIX index maintained by Chicago Board Options Exchange (Cboe) is a measure of expected volatility in the US equity market. Since the early 2010s, Antonio’s startup, QUASaR (Quantitative Strategies and Research) has teamed up with Cboe and Applied Academics for the purpose of creating a suite of indices of expected volatility in various segments of the fixed income markets. In 2012, Cboe launched the SRVIX Index of Interest Rate Swap Volatility and, in 2013, Cboe launched the TYVIX Index (volatility of US Public Debt). In 2015, S&P Dow Jones Indices and Cboe launched the JGB-VIX Index (volatility of Japanese Public Debt). In 2014, CBOE Future Exchange launched futures contracts referenced to TYVIX, the first exchange-traded contracts based on these new standardized fixed income volatility gauges.
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Below are links to research into fixed income market volatility that I’ve conducted during the 2010s: