Since the middle of the year when the 10y US-Treasury bond price peaked and yields touched their lows, interest rates have risen dramatically across most major currencies. The bulk of the rally in yields took hold after Trump’s election victory which promised far more inflationary policy; driven primarily by lower taxes and fiscal pump-priming. This tectonic shift in policy brings with it the prospect of significantly higher volatility in bond prices over the coming years. T3 publish a suite of volatility indices, a few of which focus on interest rate volatility. In the chart below we can see a plot of US-10y Treasury note volatility, which has risen markedly since its nadir in October.