January 10, 2018 / 2:59 PM / a year ago

U.S. T-note volatility index highest in nearly a month

NEW YORK, Jan 10 (Reuters) - The CBOE/CBOT 10-year U.S. Treasury note volatility index rose to its highest level in almost a month on Wednesday, as a Bloomberg report that China might pare or stop its purchases of U.S. government debt knocked 10-year T-note futures to their lowest levels in more than nine months.

The index, which measures the expected 30-day volatility of CBOT 10-year Treasury futures, reached 4.11 earlier Wednesday, which was the highest level since Dec. 13. At 9:53 a.m. (1453 GMT), it was 3.94, up 4 percent from Tuesday’s close. (Reporting by Richard Leong Editing by Chizu Nomiyama)

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