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Goldman calculates a vol. benchmark for both bond options at the CBOT and
euros options at the CME. I see it referenced in their research. Never
really paid much attention to how they calculate it.
Bob Hunt wrote:
> 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
>
> ------------------------------------------------------------------
>
> 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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