Bond Volatility Index

berridos · October 31st, 2005, 7:35 am

HiIs there any timeseries in Bloomberg of Volatility of Bond /Swap/Interest Rates? Something like the VIX for stocksThx

crisky · November 2nd, 2005, 5:28 am

Hi berridos,bloomberg has historical data for at-the-money swaption volatilities of various expiries and swap tenorsTyping 'USSV1010 Index' will give you the 10y10y a-t-m swaptton vol, quoted as percent of yield (the black's or 'lognormal' vol).