Using a large panel of Treasury futures and options, I construct model-free measures of bond uncertainty and tail risk across different tenors, showing that bond tail risk works as a good indicator for recessions since it remains moderate during normal times and suddenly enlarges before financial crises. Besides the termstructure and cyclicality of bond implied risks, I document three novel findings regarding their movement around announcements by the US Federal Reserve: First, measures of stock and bond uncertainty increase two days prior to the announcements and revert back upon release. Second, the pre-FOMC announcement drift also prevails in Treasury bonds, such that yields of the 5, 10 and 30 years shrink 1 bp on the day before the announcement. Third, variation in uncertainty predicts the positive stock return and bond yield change, but its jump prior to the FOMC meeting has an offsetting impact. Nevertheless, neither the global positive nor the local negative effect is large enough to fully explain the pre-FOMC announcement drift.​

Keywords: Treasury implied risks,Monetary policy, Pre-FOMC announcement drift
JEL Classification: E52, G12, G14