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US Volatility

June 28th 2019 – Written by Andrew Chorley

US Volatility 

Here's a great chart that we like to keep an eye on that we first saw published by Rothko Research. 

The black line shows the Yield on 2 Year US Treasuries minus the Yield on 10 Year US Treasuries with a 36 month lag - this means that the black line has been pushed forward 3 years (2019 is now in 2021). 

Over history this has been a pretty good indicator of the level of volatility (VIX Index in red) that you can expect from US Equities in the coming years. 

EST. 1999