This chapter builds on the general framework of Chap. 2 and develops indexes of expected volatility for interest rate swaps in a model-free fashion. It illustrates the main empirical and theoretical challenges described in the previous chapters in the context of the interest rate swap market while attempting to be as self-contained as possible. Such challenges include the arduous task of expressing directional volatility views through options-based strategies and the difficulty of insulating the pure volatility component in a variance contract design. The chapter explains how to overcome these issues and contains many empirical illustrations of the resulting indexes of swap rate volatility, as well as extensions regarding their relationship with constant maturity swaps and applications to trading strategies.