Various macroeconomic announcements are known to influence asset price volatility. In addition to non-farm payrolls, we highlight the importance of Treasury auctions – a news event that has grown in importance due to ongoing Federal deficits. The occurrence of an auction, which increases supply in the underlying cash market, pushes futures prices lower and volatility higher. Conversely, a higher bid-to-cover ratio, indicates greater demand for Treasury securities, increases Treasury futures prices and lowers volatility. The response is consistent with market participants using futures to manage inventory risk. The results are consistent across a set of volatility estimates, and in an alternate conditional volatility framework.