GlossaryUS Bond Market Stress Tracker
US Bond Market Stress Tracker
A stress index for the US bond market from 0 to 100, built from four components: inverted yield curve, inflation, VIX and the volatility of the 10-year yield. The thin lines show the components individually, so you can see where the stress is coming from.
How to read it
| Zone | Range | Color |
|---|---|---|
| High stress | above the alert threshold (default 75) | Red |
| Moderate stress | above 50 up to the alert threshold | Orange |
| Calm | 50 and below | Green |
Reference lines sit at 50 and 75. The range above the alert threshold is tinted red, the range between 50 and the threshold orange. The four thin lines sit on the same scale: yield curve (orange), inflation (gray), VIX (violet) and yield volatility (blue).
- Where is the stress coming from? Multiply a component by its weight: a VIX at 100 contributes 15 points, a yield curve at 50 already 20.
- Slow regime measure: Yield curve and inflation together carry 75% of the weight and move over months. So the index mainly describes the macroeconomic environment; it is not a short-term crisis signal. Values above 75 need several components at once, typically an inverted curve with high inflation.
- Only inversion counts: A steep curve lowers the index. Even a fast re-steepening after an inversion, which historically often coincided with the start of a recession, makes it fall.
- Clipped edges: Inflation above 10%, a spread below −2, a VIX above 40 or yield volatility above 1 percentage point sit at 100. The component no longer shows any further worsening.
Good to know
- Yield volatility is the dispersion of the yield level, not of the daily changes. Even a steady rise in the yield increases it.
- It counts candles: on the daily chart that is 20 daily candles, on the weekly chart 20 weeks, and the component comes out much higher there. On days without bond trading (weekends, holidays), the last value continues to apply.
- Inflation is a monthly value. It appears on the chart from the first of its reporting month, but is published weeks later.
- Intended for daily and weekly charts.