Thursday, January 1, 2009

2008 Volatility Awards

I thought I’d spare everyone a silly sounding name like “the VIXies,” so without further ado, here are the highly subjective and not-otherwise-nicknamed VIX and More volatility awards for 2008:

I’m sure I overlooked some other obvious awards. Feel free to add to this list in the comments section.

4 comments:

Anonymous said...

Thanks for your 2008 efforts to educate us all on the VIX and more. Keep up the good work!

I also have a question: is there an indicator we can use, similar to the "TED Spread", to track the spread between Treasuries and Investment-Grade Corporate Bonds? If so, on which website can we track it easily (preferably with a chart)?

Don said...

Hey Anon, check out this Fed web site.

http://www.federalreserve.gov/releases/H15/Current/

You can get the Treasury rate and you can get the Moody's rates for corporate bonds of different ratings. Note at the top of the page that they have historical data. But this is important. Note that they also have important footnotes at the bottom! That Aaa composition changed in the last bear market because of Enron.

Anonymous said...

Thanks for the tip Don.
However, that site does not have handy charts, like the TED Spread chart on Bloomberg for example.

Also, it shows the rates, but not the spreads, so I would have to calc spreads manually.

Anyone know of sites which show corp bond yield spreads in historical chart form? Or at least the corp bond yields in chart form?

Anonymous said...

No mention of Porsche/VW? That was a vol event and a correlation event.

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