tag:blogger.com,1999:blog-897456774486153841.post4207498655060742207..comments2024-03-28T06:07:36.391-07:00Comments on VIX and More: The VIX and the FedBill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.comBlogger2125tag:blogger.com,1999:blog-897456774486153841.post-40617675361625074152007-09-13T06:20:00.000-07:002007-09-13T06:20:00.000-07:00G'morning, morning.Both of the two graphs from the...G'morning, morning.<BR/><BR/>Both of the two graphs from the January 28th post are of my creation. The top graph, which shows the large volatility drops on the day of and the day after the FOMC announcement, uses data from 1990-2007. The bottom graph, where the drop in volatility is concentrated on announcement day, only uses data from June 2004-2007.<BR/><BR/>Note that I made an edit to yesterday's post to emphasize that the volatility contraction is most likely to be largest right after the Fed announcement, though there is considerable precedent for another contraction in the next trading session as well.<BR/><BR/>I hope this helps.Bill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-84020119335648697182007-09-13T05:51:00.000-07:002007-09-13T05:51:00.000-07:00Great post on the VIX and the affect it has up int...Great post on the VIX and the affect it has up into the FOMC meeting. However I have a question about the 2 graphs you posted on this in Januaury. Was the top graph the one you constructed? Did you also construct the bottom graph? Which one is the more recent one? Both graphs are saying something different, so I want to make sure I am understand what I am looking at. ThanksUnknownhttps://www.blogger.com/profile/04641313181859780488noreply@blogger.com