Market Volatility


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 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.

Please visit the following websites for market data and other institutional features:


Below are links to research into fixed income market volatility that I’ve conducted during the 2010s:

Book and survey

  • BOOK: The Price of Fixed Income Market Volatility (with Yoshiki Obayashi) Springer: Springer Series in Finance, New York (2015), 250 pages

Unifies work on security design and related issues arising while pricing and indexing fixed income volatility

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  • “Interest Rate Derivatives and Volatility” (with Yoshiki Obayashi) Handbook of Fixed-Income Securities: Handbook Series in Financial Engineering and Econometrics. John Wiley & Sons (Editor Pietro Veronesi) Chapter 20, 767-838 (2016).

Surveys interest rate derivatives and their use to hedge against fixed income volatility

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Articles and notes

  • “The Term Structure of Government Debt Uncertainty” (with Yoshiki Obayashi and Shihao Yang) (July 2019)

CEPR Discussion Paper 13874

A model to evaluate government bond volatility and to assess the impact of macroeconomic uncertainty on market expectations of future tradable volatility


  • “Market Timing with Implied Volatility Indices” (with Yoshiki Obayashi and Kshitij Dhingra) S&P Dow Jones Indices and Applied Academics — Research Strategy Note (August 2017)

Interest rate and equity volatilities as signals

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  • “Rate Fears Gauges and the Dynamics of Fixed Income and Equity Volatilities” (with Yoshiki Obayashi and Catherine Shalen) Journal of Banking and Finance 52, 256-265 (2015).

Compares empirical properties of Interest Rate Swap volatility with equity (SRVIX vs VIX)

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  • “Interest Rate Variance Swaps and the Pricing of Fixed Income Volatility” (with Yoshiki Obayashi), GARP Risk Professional: Quant Perspectives, March 1-8 (2014)

A succinct presentation of methodology underlying the pricing of variance swaps in the fixed income space

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  • “An Interest Rate Swap Volatility Index and Contract” (with Yoshiki Obayashi), June 2012

Develops security design to price fixed income volatility in a model-free fashion, the basis for the first interest rate volatility index maintained by an exchang

Technical white paper underlying the CBOE SRVIX Index of Interest Rate Swap Volatility— Link to CBOE website