The US Treasury market experienced a sharp rally on Friday following the release of August labor data, which showed weaker-than-expected job growth. This fueled expectations for interest rate cuts by the Federal Reserve, leading to a decline in Treasury yields and a positive shift in the yield curve.
The VIXTLT Index, a new measure of volatility for the US Treasury market, offers insights into bond market nervousness, complementing the widely known VIX for equities. This index is designed to provide investors with a real-time gauge of expected volatility in the US Treasury market, focusing on bonds with maturities exceeding 20 years. Comparing the VIX and VIXTLT can help understand how different asset classes react to market stresses, enabling more informed investment decisions.
