Board of Governors of the Federal Reserve System

Figure 1. Volatility and Market Depth (10-Year Treasury Note)

The figure presents a scatterplot of market depth (x-axis, in millions of dollars) against realized volatility (y-axis, in percent) for the 10-year Treasury note from January 4, 2010, to October 17, 2025. Data points are keyed to highlight specific market stress periods: the 2020 Pandemic Crisis from February 27 to April 1, 2020 (blue, squares), 2023 Bank Stresses from March 8 to April 1, 2023 (purple, triangles), the period of interest in this note from April 2 to April 11, 2025 (black, circles), and a more recent reference period from September 18 to 29, 2025 (green, diamonds) which provides context on normal market conditions. Within the April 2025 stress period, two dates are specifically highlighted as experiencing extreme volatility: April 9, which shows near record high volatility reading at relatively low market depth, and April 7, which also exhibits the second highest volatility for the considered episode in April 2025. These volatility extremes are shown to be comparable to the volatility levels observed during the 2020 pandemic and 2023 bank stress episodes, consistent with corresponding depth levels in April 2025 that are also nearly as low as those seen during the 2020 pandemic and 2023 bank stress episodes.

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Figure 2. Treasury Yields and Trading Volume, March 31, 2025 – April 16, 2025 (10-Year Treasury Note and 10-Year Treasury Futures)

The figure plots the intraday evolution in 10-year Treasury note yields (red line, left axis, in percent), futures market trading volume for the 10-year Treasury futures contract traded on CME/CBOT (gray area, right axis, in billions of dollars), and cash market trading volume for the benchmark 10-year Treasury noted traded on BrokerTec (blue area, right axis, in billions of dollars) over the period from March 31, 2025 to April 16, 2025 for business days from 7:00 AM to 5:00 PM. The depicted volumes are aggregated at 5-minute intervals, while the depicted yields are sampled at 5-second intervals. Event lines highlight five key events discussed in the text: End-of-month Rebalancing on March 31st, U.S. Reciprocal Tariffs Announcement on April 2nd, Rumored Tariff Pause on April 7th, and 10-yr Auction and Tariff Pause on April 9th. Trading volumes in the futures market are shown to systematically exceed those in the cash market. The two largest spikes in futures market trading volumes occur at the time of the End-of-month Rebalancing on Mach 31, 2025 and at the time of the Rumored Tariff Pause on April 7, 2025. A bit smaller volume spikes stand out also at the time of the Reciprocal Tariffs Announcement on April 2, 2025 and the Tariff Pause announcement on April 9. There are notable spikes in yields around the time of the Tariff Announcement on April 2, 2025, the Rumored Tariff Pause on April 7, 2025, as well as the 10-year Auction and Tariff Pause on April 9, while yields do not seem to move much around the time of the End-of-month Rebalancing on March 31.

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Figure 3. Intraday Price and Volume on April 7, 2025 (Left) and April 9, 2025 (Right) for 10-Year Treasury Futures

The figure has two panels, depicting second-by-second prices (black line, left axis, in dollars per $100 of par value) and 5-minute relative trading volumes (gray bars, right axis, in percent of prior month’s average in the respective 5-minute bucket) for the 10-year Treasury futures contract for two days of interest: April 7, 2025 in the left panel and April 9, 2025 in the right panel. The x-axis in both panels has ticks in hourly increments, from 7 AM to 5 PM. The peaks in relative trading volumes observed during these two days are comparable, indicating about a tenfold volume spike in the 5-minute interval following the Rumored Tariff Pause on April 7 and a roughly eight-fold volume spike during two consecutive 5-minute intervals following the Tariff Pause on April 9. However, the price fluctuations observed around those event windows appear to be substantially different in magnitude, with price movements on April 7 featuring a large sudden drop followed by gradual recovery within about 15 minutes of the intraday volume spike, while price movements on April 9 oscillating within a much tighter range within 15 minutes of the observed similarly large spike in intraday volumes in relative terms.

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Figure 4. Intraday Price and Trading Imbalance around the Tariff News Surprises on April 7, 2025 (Left) and April 9, 2025 (Right) for 10-Year Treasury Futures

The figure has two panels, depicting second-by-second prices (black line, left axis, in dollars per $100 of par value) and second-by-second cumulative trade imbalance (turquoise area, right axis, in millions of dollars) for the 10-year Treasury futures contract for two event windows of interest: 10:05 to 10:25 on April 7, 2025 in the left panel and 12:55 to 13:35 on April 9, 2025 in the right panel. The x-axis is in 5-minute increments. The evolution of cumulative imbalance differs substantially between the two days, with imbalances in April 7th becoming increasingly more negative as the price declines notably within five minutes early on before gradual retracement after that, while imbalances on April 9 exhibit alternating and much smaller in magnitude positive and negative surges as the price fluctuates much more modestly than on April 7. The magnitude of cumulative imbalance observed during the April 7 event window is about two to three times larger than that observed during the April 9 event window.

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