tag:blogger.com,1999:blog-897456774486153841.post4046386259515796251..comments2024-03-29T03:46:10.767-07:00Comments on VIX and More: What the VIX Thinks About Tuesday’s BreakdownBill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.comBlogger8125tag:blogger.com,1999:blog-897456774486153841.post-60758191048414750632009-01-21T12:31:00.000-08:002009-01-21T12:31:00.000-08:00Given the rally in the financials, I don't the VIX...Given the rally in the financials, I don't the VIX has fallen too far today.<BR/><BR/>While the VIX is at 47.68 as I type this, this is up from a close of 46.11 on Friday.Bill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-71910395955301100952009-01-21T12:27:00.000-08:002009-01-21T12:27:00.000-08:00Billdo you think VIX drop too much todayBill<BR/><BR/>do you think VIX drop too much todayAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-46417886135400860592009-01-21T11:24:00.000-08:002009-01-21T11:24:00.000-08:00Regarding U.S. Treasury volatility, there are diff...Regarding U.S. Treasury volatility, there are different measures and instruments of different duration, but I can go back more than a decade.<BR/><BR/>Volatility first peaked during the second week in October and then surpassed that level to set a new all-time high during the latter half of November and into the first half of December.<BR/><BR/>Current volatility (HV, IV, ATR) does not compare to what we saw toward the end of last year.Bill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-6450822833090755792009-01-21T10:34:00.000-08:002009-01-21T10:34:00.000-08:00Bill, I thought your response suggests that the T-...Bill, I thought your response suggests that the T-volatility measures you look at aren't and haven't been at extremes -- right?<BR/>And what about expectations/fear short term vs., say, one year?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-83592167482872506322009-01-21T10:31:00.000-08:002009-01-21T10:31:00.000-08:00Thanks for the answer, Bill.Is your time series de...Thanks for the answer, Bill.<BR/><BR/>Is your time series deep enough to confirm/deny my thought, that Treasury volatility is "unprecedented " ?<BR/><BR/>MutantDogAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-72472717127959386622009-01-21T07:17:00.000-08:002009-01-21T07:17:00.000-08:00If there is a 'standard measure' of volatility for...If there is a 'standard measure' of volatility for Treasuries, then I am not aware of it.<BR/><BR/>The data I look at, however, show historical volatility in Treasuries moving up and implied volatility in the likes of TLT also starting to rise.<BR/><BR/>Cheers,<BR/><BR/>-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-90093948480656145892009-01-21T07:11:00.000-08:002009-01-21T07:11:00.000-08:00Is there a standard measure of volatility for Trea...Is there a standard measure of volatility for Treasuries ? I have the feeling it is up.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-64950563707764003842009-01-21T04:53:00.000-08:002009-01-21T04:53:00.000-08:00At least this guy at thinkingtrades is thinking th...At least this guy at thinkingtrades is thinking the opposite.Anonymousnoreply@blogger.com