macrocephalopod

Yep. Depending upon what you’re using it for, it might make sense to get an instrument that tracks the 10yr rate (e.g. 10yr govt bond index) and find the total return vol. The changing duration may be an “issue,” but it also might be important information to have.

yeah i am going to echo what corey said here. for a lot of things where maturity and/or duration is constant-ish price vol is definitely a better measure if observable. otherwise do yield vol but make sure you are properly translating it to price vol using the changing duration

for most stuff you can def just use price vol if you are working off of mkt products since most of the stuff with options rolls its holdings or has a moving CTD but if you have static holdings you have to remember that yield vol is partly a f(x) of term, sim to vega/sqrt(t) adj.

I see, anywhere I can learn the equations to do this? I dont have access to prices, only constant maturity treasury yields via FRED for now. Thanks again!

I would use SHY as a proxy for the 1-3yr, IEF for 7-10yr and TLT for 20yr+. I’m assuming you are simply looking for a quick way to calc the returns. Using the yields is a nightmare because duration is fluid.

Ok this is much simpler thank you! So the issue w duration is, its non constant, so the relationship betw the moves in the bond's yield and the moves in the price is not consistent. so yield vol is not a good proxy for price Vol, which we want for apples2apples comparison

Duration is not constant but like... it’s not constant in the same way that gravity is not constant (it’s weaker when you go higher). It matters if you are a rocket scientist or a fixed income specialist, if you are just doing some simple analytics it’s not that important imo.

So if that's the case, maybe I can stick to my original method? Im just trying to see the relationship betw trailing volatility in certain treasuries, w future returns in XLF. Originally I did stdev(Column Of [CurrentYield - priorDayYield]) *sqrt(252)