Author Archives: CBOE

TYVIX Weekly Review: Will the FOMC Lift the Lid on the Federal Fund Target Rate?

Federal Funds Target Rate and Treasury Volatility With 26 days left until the September 16th meeting of the Federal Reserve Open Market Committee, and signals for U.S. rates diverging amid continued China and Europe economic weakness, it is still uncertain whether the FOMC will lift the lid on the federal funds target rate (FFTR) on […]

TYVIX Weekly Review: Nothing Like a Yuan Devaluation to Invigorate Volatility

After last week’s doldrums, the Chinese government’s surprise devaluation of the yuan breathed life into CBOE’s VIX Suite: VIX, TYVIX, EUVIX, BPVIX and JYVIX. Volatilities fluctuated as the events of the week unfolded – initially climbing on Tuesday when the devaluation occurred and prompted a number of analysts to suggest the Federal Reserve’s target rate […]

TYVIX: Is Fed Fatigue Setting In?

As market participants returned to the view this week that a September (rather than December) fed fund hike may be more likely, backed up in part by an as-expected U.S. July employment report on Friday, expected Treasury volatility measures through December 2015 decreased, but just barely. At week’s end, the TYVIX Index was still about […]

Last Week in TYVIX – 7/19/2015 by Catherine Shalen

TYVIX in the Aftermath of the October 15, 2014 Flash Crash On Monday, July 13, staff members from the U.S. Department of Treasury, the Board of Governors of the Federal Reserve System, the Federal Reserve Bank of New York, the U.S. Securities and Exchange Commission, and the U.S. Commodity Futures Trading Commission released a joint report […]

Last Week in TYVIX by Catherine Shalen

Every day Brings a New Twist to TYVIX, Benchmark for Treasury Volatility The referendum in Greece on Sunday was a non-event for Treasury volatility. TYVIX opened at 6.70 on Monday, 1.82% above its closing value on July 2nd, but by 10:30, TYVIX was back to 6.58. Equity and FX volatilities were more reactive. VIX opened […]

Video: CBOE Volatility Index – Fact & Fiction Part 4

Watch Part 4 of CBOE’s Fact & Fiction five part educational series, where Doug Prskalo of Blue Capital Group discusses the direction the S&P 500 and  VIX move in and how traders use the VIX.

Video: CBOE Volatility Index – Fact & Fiction Part 3

Watch Part 3 of CBOE’s Fact & Fiction five part educational series, where Daniel Deming of Stutland Equities discusses the VIX as a 30-day forward looking measure of volatility and shares some of his strategies.

Video: CBOE Volatility Index – Fact & Fiction Part 2

Watch Part 2 of CBOE’s Fact & Fiction five part educational series, where Jamie Tyrrell of Group One Trading discusses the VIX, whether it indicates fear or uncertainty and what it means when the VIX “heads down.”

Video: CBOE Volatility Index – Fact & Fiction Part 1

Watch Part 1 of CBOE’s Fact & Fiction five part educational series, where Dominic Salvino of Group One Trading explains what the VIX measures and why it is often referred to as the “fear gauge”.

Ask The Institute: 01/27/12

Watch this video to gain insight on how VIX expiration dates are determined and why they vary from month to month.  Hosted by Michelle Kaufman.

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