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US Treasury Trading Hours and Intraday Volatility Patterns

Article Quant Q&A · Author: Peaceful
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Summary

The document discusses how to convert daily US Treasury volatility to an hourly measure and cautions against assuming that trading activity is evenly distributed across the full day. Treasury trading is described as over the counter, without official exchange hours, with activity spanning most of the day across global sessions. One response notes a gap between the end of New York trading and the Tokyo opening, while another identifies New York daytime as the most important window.

The central practical caveat is that dividing daily volatility by the square root of the hours in a day can be misleading: volatility is concentrated in the New York morning, particularly around major economic releases. The answers offer market-practice observations rather than a formal volatility model or measured intraday profile, so an hourly conversion should account for the timing and concentration of price moves.

Key ideas

  • US Treasury trading is over the counter and lacks official exchange trading hours.
  • Trading activity spans most of the day across global markets, with a short inter-session gap described.
  • New York daytime, especially the morning, is identified as a key trading and volatility period.
  • Economic announcements can concentrate price volatility in particular hours.
  • A uniform square-root-of-hours conversion from daily to hourly volatility may be naive.

Tags

Fixed incomeVolatilityUS markets
Full text
# US Treasury Trading Hours and vol


# US Treasury Trading Hours and vol












I have an exercise to convert US Treasury daily vol to hourly vol. The question now is how many hours should I count for a day for US Treasury? A relevant if not exact question is what the trading or actively trading hours are for US treasury ?

what is your opinion

## Answer by dm63 (score 1)

https://quant.stackexchange.com/a/81343

US Treasury trading is OTC so there are no official trading hours. However in practice , trading in NY ends around 5pm, and there is about a 2 hour gap until trading opens in Tokyo. Hence trading is almost 24 hours. Converting to hourly vol by dividing by $\sqrt{24}$ however would be naive. Most of the volatility occurs in NY morning, especially on days when important economic data is released .

## Answer by nbbo2 (score 1)

https://quant.stackexchange.com/a/81346

In my impression 8am to 5pm NY are the most important trading hours. As mentioned the 8:30am government announcements can have a big impact. Someone once said "trading bonds is an early business". By comparison the NYSE (i.e. stocks) only opens at 9:30.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.