2 Year US Treasury Note Futures (ZT)
Implied Volatility Analysis

Implied Volatility:

2 Year US Treasury Note (ZT) Futures have an Implied Volatility (IV) of 2.3% p.a. for a constant maturity of 30 days. The lowest IV reading within one year was 1.1% and the maximum was at 2.8%. We calculated an Implied Volatility Rank (IVR) of 72.4. The Implied Volatility Percentile (IVP) is 83.7 which means that looking at one year of data 83.7% of all IV readings were lower than 2.3. The latest IV reading is 1.2 standard deviations away from its 1 year mean. Implied volatility data and statistics for 2 Year US Treasury Note (ZT) was calculated after the 5/20/2022 market close from the futures options.

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