US Long Bond Vol has been really under performing recently versus 10-Years (TY), 5-Years(FV) and 2-Years(TU). Check the Z-Score for the last year here.
Looking at the US Long Bond v US 5-Year Vol over 3 years shows you just how extreme the current levels are.
Another way to look at these would be create a vega weighted straddle spread between the USQ and FVQ. USQ – ( USQ Vega/FVQ Vega*FVQ Straddle), then plot the USQ versus the new weighted FVQ straddle.
