RT Journal Article SR Electronic T1 Does Implied Volatility Imply Volatility—in Bonds? JF The Journal of Fixed Income FD Institutional Investor Journals SP 54 OP 60 DO 10.3905/jfi.2001.319305 VO 11 IS 3 A1 Eric Bertonazzi A1 M.T. Maloney YR 2001 UL https://pm-research.com/content/11/3/54.abstract AB The authors investigate the relationship between the implied volatility derived from option contracts on U.S. Treasury bond futures and the actual volatility observed in these securities. Research has suggested that implied volatility in stock options correctly forecasts realized volatility in stock prices; the authors find the same is true in bonds. Evidence on implied volatility in 25 options written on futures contracts on U.S. Treasury long bonds over 1993–1999 indicates a statistically significant relationship between implied and realized volatility. Further, implied volatility predicts realized volatility in an unbiased fashion.