ICE BofAML U.S. Bond Market Option Volatility Estimate Index

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ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index

CDX/CBOE NA High Yield 1-Month Volatility Index (BP Volatility)

CDX/CBOE NA High Yield 3-Month Volatility Index (BP Volatility)

CDX/CBOE NA High Yield 6-Month Volatility Index (BP Volatility)

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CDX/CBOE NA Investment Grade 3-Month Volatility Index (BP Volatility)

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	param	t-stat
$ω$	1.0806	1.55
$α$	0.1813	0.23
$β$	0.8187	1.04
$γ_{1}$	-0.2994	-1.08
$γ_{2}$	0.3903	1.02
$γ_{3}$	-0.0357	-0.25
$γ_{4}$	-0.2612	-3.52
$γ_{5}$	0.5841	7.63
$γ_{6}$	-0.6258	-6.85
$γ_{7}$	0.0308	0.31
$γ_{8}$	0.4673	2.17
$γ_{9}$	-0.2435	-0.67

V-Lab

3M US Treasury CMT 3 Month Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, February 16th, 2026:6.54% (+0.82%)

Date Range:

Parameter Estimates

News Impact Curve

Volatility Forecasts

Other 3M US Treasury CMT 3 Month Analyses