Tag Archives: TYVIX

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Weekend Review – Volatility Indexes and ETPs – 11/7 – 11/11

Regardless of the outcome, we all expected VXST to get routed last week and that’s exactly what happened.  I’ve worn this out, but the election was like an earnings announcement with respect to the broad-based equity markets.  We see volatility crushes occur on short dated options when a company reports and we saw that for […]






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Weekend Review – Volatility Indexes and ETPs – 10/17 – 10/21

In a bear market we refer to market bounces as ‘relief rallies’.  The drop in volatility last week may be attributed to some sort of relief, whether with respect to expectations around the coming election or that a good part of earnings season has passed without any catastrophic results.  Whatever the reason the curve moved […]






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February 26, 2016 Weekly Report on CBOE VIX Index Suite

Foreign Exchange Volatility Remains a Hot Spot The chance of divergence between monetary policies and the impact of oil prices and China factors on international trade continues to sustain volatility in foreign exchange VIX indexes: CBOE/CME FX Euro Volatility IndexSM (Ticker: EUVIX); CBOE/CME FX Yen Volatility IndexSM (Ticker: JYVIX)  and CBOE/CME FX British Pound Volatility IndexSM (Ticker: BPVIX). […]






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Twists and Turns In VIX and TYVIX Indexes

The CBOE Volatility Index (VIX) and the CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX), benchmarks of volatility for the U.S. equity and Treasury markets, have had some interesting twists and turns this week after another decline in the Shanghai stock market pushed global equities lower and the price of crude oil dipped below $30 […]






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A Look Backward and Forward: CBOE VIX Indexes in 2015 and 2016

2015 Retrospective: There was no shortage of financial crises or investor alarm over central bank monetary policies, OPEC’s oil policy, and the generally anemic state of the global economy in 2015. Each CBOE VIX Index recorded the level of stress in its underlying sector. As the graphs below illustrate, different triggers struck panic across markets. […]






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TYVIX Weekly Review: Volatilities Drift Up to October Levels as Markets Await Tighter Monetary Policy Cycle

The markets are pondering the effect the first target rate change in seven years will have on volatility (Fed rates have hovered between zero and one-quarter percent since December 2008). The Federal Open Market Committee meets on December 15-16 and is widely expected to announce a rate increase at the conclusion of the two-day meeting. […]






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Divergent Monetary Policies Widen Euro/U.S. Equity Volatility Spread, Bolster Euro Volatility

Central banks made the headlines this week. On Wednesday, Federal Reserve Chair Janet Yellen affirmed that the U.S. appears ready for the first of a sequence of federal fund rate increases, while on Thursday, European Central Bank President Mario Draghi announced the ECB would ramp up quantitative easing. The divergence between transatlantic monetary policies has […]






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TYVIX Weekly Review: Term Structure of Treasury Volatility Flattens Along With Curve as Rate Hike Looms

  Market participants have observed that the expected December increase in the federal fund target rate is flattening the term structure of Treasury yields as investors shift from the short to the long end of the curve.  However, fewer market observers have noted that the same scenario is playing out on the volatility side.  As […]