Yields and Historical Volatilities
Yields
Below, check out the 2-, 5-,10-, 20-, and the 30-year Treasury yield to maturity. To see how the yields have changed, look at the different color lines. The 30-year yield hasn’t changed much from one year ago—moving from 1.7% to 1.8%. But on the short end, it has changed quite considerably, moving from 0.20% to roughly 0.70%.
All of these can be played with the Small Exchange yield products: /S2Y, /S10Y and /S30Y.
New Feature Coming Soon to tastyworks: Historical Volatility
Take a look below. We have the implied volatility (which is a forward looking estimate) and the historical volatility (which is a backward looking estimate). Notice that the following ETFs all have significantly greater IVs than HVs. This would signal possible advantages to selling premium in since these stocks tend not to move much.
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Cherry Picks is written in collaboration with Michael Rechenthin, PhD, Head of Research and Development at tastytrade; and James Blakeway, CEO of Quiet Foundation, a data science-driven subsidiary of tastytrade.
