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Johnny,
I know of no T-Bond index which would be directly comparable to the
VIX. I use a number of techniques to measure and track historic
volatility, but that is a much different approach than that taken in
calculating VIX numbers.
Years ago I did some extensive work with T-Bond options implied
volatility and z-score calculations, similar to the excellent work of
Bob Roeske and Ron McEwan (sorry if I spelled your names wrong boys -
we haven't seen you in these parts in quite some time). And there is
definitely some merit in that approach. It's just that my trading
time-frame of choice has since grown much shorter, and I discontinued
their use.
But your question has definitely piqued my interest again! Anybody
know where I can get good implied volatility data, both current and
historic? Perhaps we can create a T-Bond VIX of our own!
Bob Hunt
THE T-BOND DAY TRADING REPORT
E-Mail: RHunt.066@xxxxxxxxxxxxxxxx
Web Site: http://home.att.net/~rhunt.066/main.html
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Johnny Storm wrote:
>
> Bob and All RT's
>
> I am curious, you know how the OEX has a volatility index to it (VIX),
> does anyone know if there is one for Bonds?
>
> JS
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