With all eyes focused on the collapse in equity risk over the last few months, it seems Treasuries have been ignored. This week has seen intraday trading ranges for 10Y Treasury yields crash to 2016 lows. The last time the volatility was this compressed was early June, which pre-empted a major surge in risk, slide in stocks, and drop in rates...

As Bloomberg details, the benchmark 10-year U.S. Treasury note traded Wednesday in a yield range of less than 0.03 percentage point, the tightest since June. It’s the second-smallest range of 2016, excluding days the market was closed for American holidays, as bond traders await Federal Reserve Chair Janet Yellen’s speech in Jackson Hole on Aug. 26.

 They’ll be listening for clues as to whether policy makers will raise interest rates later this year... even though the yield curve seems convinced it's not going to happen...

Notably, both Bond and Equity risk is massively distorted from a seasonal norm perspective...

However, the last time bond trading was this compressed marked a notable bottom in risk...

And while the unusual situation where equity 'risk' is less than bond 'risk' remains, it is clear that equities are catching up... as spot VIX catches up to the futures curve's expectations.

Finally, some context!