Ranking in priority only behind the duration and curve shape decisions, volatility analysis is critical in evaluating securities with embedded options (e.g., callable corporate bonds and mortgage-backed securities).  The focus of this research is to identify those times when volatility is trending or when it is at/near long-term range extremes and, thus, whether it is appropriate to be long or short volatility. The following reports are intended to assist the investor in making such determinations.

DAILY YIELD VOLATILITY CHART
This graphic report is updated daily and presents 2yr, 5yr, 10yr and 30yr yield volatilities over the past year.

DAILY YIELD VOLATILITY PROBABILITY TABLE
The Yield Volatility Monitor is a tabular report which looks at current yield volatilities relative to past levels. The report is updated daily and includes highs, lows, averages, standard deviations and ranges.

DAILY SWAPTON VOLATILITY CHARTS
This graphic report is updated daily and presents 1yr x 1yr , 1yr x 2yr, 3yr x 2yr, and 5yr x 5yr resent swaption volatilities.

DAILY SWAPTON VOLATILITY PROBABILITY TABLE
The Implied Volatility Monitor is a tabular report which looks at current swaption volatilities relative to their past levels. It is updated daily and includes highs, lows, averages, standard deviations and ranges (based upon a normal distribution assumption).