​Banks, Funds Throw Support Behind Rates Vol Indexation

Despite interest rates having the largest over-the-counter derivatives market globally, the development of volatility indices in the asset class has been largely limited, with the CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) the only notable foray into the market. A family of proprietary interest rate volatility indices from T3Index, however, are finding increased support from banks, hedge funds and institutional investors, as market participants increasingly look to generate alpha or hedge against interest rate vol movements. Rob McGlinchey reports.