VIX vs 10Y Treasury Yield
VIX (FRED series VIXCLS, CBOE Volatility Index) measures 30-day expected S&P 500 volatility from listed options. The 10Y Treasury yield (FRED series DGS10) is the constant-maturity nominal yield published daily by the U.S.
Also known as: VIX (fear index, volatility index, CBOE VIX) · 10Y Treasury Yield (10Y yield, 10 year treasury, TNX)
Why This Comparison Matters
VIX (FRED series VIXCLS, CBOE Volatility Index) measures 30-day expected S&P 500 volatility from listed options. The 10Y Treasury yield (FRED series DGS10) is the constant-maturity nominal yield published daily by the U.S. Treasury via the H.15 release. The textbook relationship is inverse: equity stress drives flight-to-quality flows that push VIX up and DGS10 down. That relationship held cleanly in 2008, 2011, and March 2020, but broke decisively in 2022 when both rose together as a stagflation-style rates-driven equity drawdown unfolded. Reading whether the two are co-moving or moving inversely is itself the regime diagnostic.
What each leg actually prices
VIXCLS is calculated from S&P 500 SPX options expiring 23 to 37 days out using a model-free strip integration that CBOE published in 2003 (the post-2003 methodology; the pre-2003 series was VXO, based on at-the-money OEX options). DGS10 is the constant-maturity 10-year Treasury yield from the U.S. Treasury H.15 release, which the Treasury constructs from the daily yield curve fit to all outstanding nominal Treasuries. Both are end-of-day series on FRED, both published with one business day lag, and both have intraday tickers (VIX on Cboe, 10Y futures on CME).
The two series capture different parts of the same Fed-policy expectation set. VIX prices the variance of equity returns; DGS10 prices the average nominal short rate over the next decade plus term premium. Adrian, Crump, and Moench (2013, New York Fed) decompose DGS10 into expected average short rate and term premium components; the term-premium component is what links most cleanly to VIX during stress episodes because forced selling in the long end produces both higher yields and higher equity vol simultaneously.
When the inverse relationship holds and when it breaks
From 1990 through 2021, the rolling 60-day correlation between daily VIX changes and daily DGS10 changes was negative on average, around -0.25 to -0.40 in calm regimes and reaching -0.55 during the September 2008 Lehman window. The mechanism is flight-to-quality: when equity stress accelerates, real-money allocators sell stocks and buy long-duration Treasuries, pushing VIX up and DGS10 down. October 10, 2008 produced the cleanest example: VIX closed at 69.95, DGS10 fell from 3.86% on October 9 to 3.86% on October 10, then to 3.86% on October 14, with substantial intraday flight-to-quality flattening visible on the curve.
Conditional Forward Response (Tail Events)
How 10Y Treasury Yield has historically behaved in the 5 sessions following a top-decile or bottom-decile daily move in VIX. Computed from 1,243 aligned daily observations ending .
Following these triggers, 10Y Treasury Yield rises 0.77% on average over the next 5 sessions, versus an unconditional baseline of +0.63%. 124 qualifying events; 10Y Treasury Yield closed positive in 49% of them.
90-Day Statistics
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Frequently Asked Questions
Why did VIX and the 10Y yield rise together in 2022?+
Fed Funds rose from 0.08% to 3.83% between January 2022 and October 2022, the fastest tightening cycle since 1980. When rates are themselves the source of equity stress, the textbook flight-to-quality hedge breaks. DGS10 moved from 1.63% to 4.25% while VIX averaged 25.4 and peaked at 36.45 in March 2022. The S&P 500 fell 25.4% peak-to-trough. The 60-day rolling correlation between VIX and DGS10 turned positive for sustained windows for the first time since the 1994 Greenspan tightening. CNLI (Convex Net Liquidity Impulse) was sharply negative across this window, confirming that liquidity withdrawal was the common driver.
What is the typical correlation between VIX and the 10Y yield?+
From 1990 through 2021, the rolling 60-day correlation between daily VIX changes and daily DGS10 changes was negative on average, around -0.25 to -0.40 in calm regimes and reaching -0.55 during the September 2008 Lehman window. That negative correlation is the textbook flight-to-quality relationship. The correlation flipped positive during the 1994 Greenspan tightening and across most of 2022. The current April 2026 reading sits closer to the long-run negative average as DGS10 has stabilized in the high 3% to mid 4% range and VIX has averaged in the high teens.
How do MOVE and VIX together diagnose the source of stress?+
MOVE is ICE BofA's measure of expected Treasury volatility. When MOVE rises faster than VIX, the source of stress is concentrated in the rates market (the September 2022 UK gilt episode hit MOVE 159 on October 18, 2022 while VIX held in the high 20s). When VIX rises faster than MOVE, equity-specific stress is dominant (October 2018 hit VIX 36 with MOVE below 90). The joint MOVE/VIX reading is the cleanest fast-frequency diagnostic for whether to expect the VIX-DGS10 relationship to behave textbook (inverse) or broken (positive).
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Data sourced from FRED, CoinGecko, CBOE, and other providers. This page is for informational purposes only and does not constitute financial advice. Past performance does not guarantee future results.