Implied Volatility Analysis

3.6%

**2 Year US Treasury Note (ZT) Futures** have an **Implied Volatility (IV)** of **3.6%** p.a. for a constant maturity of 30 days. The lowest IV reading within one year was 1.9% and the maximum was at 5.5%. We calculated an **Implied Volatility Rank (IVR)** of **46.0**. The **Implied Volatility Percentile (IVP)** is **90.1** which means that looking at one year of data 90.1% of all IV readings were lower than 3.6. The latest IV reading is 1.1 standard deviations away from its 1 year mean. Implied volatility data and statistics for 2 Year US Treasury Note (ZT) was calculated after the 5/26/2023 market close from the futures options.