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PlasticSaber
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Joined: April 28th, 2007, 8:17 am

Implied vol for TSY, FX, oil and beyond

May 26th, 2011, 9:04 pm

I am playing around some asset allocation exercise. Trying to evaluate the benefit of adding some options as macro hedge. If I can get individual series like x%ATM put, 100%ATM put/call, y%ATM call etc, it would of course be wonderful... I can live with e.g. VIX for S&P as a broad indicator. I would be more interested to have a good history (e.g. 20Y -- trying to see how the implied vol react with unexpected events say Gulf War) than very reliable data for say 1-2Y.Once move beyond equity, I seem to lose track. Where can I find implied vol series for e.g. 10Y US treasury, JPYUSD, oil etc? The best I can do at this moment is made adjustment upon historical vol (say bump up the historical 30D vol by z%). I have got access to Bloomberg. So if you can tell me a ticker, that will be very useful. Thanks in advance
 
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Martinghoul
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Joined: July 18th, 2006, 5:49 am

Implied vol for TSY, FX, oil and beyond

May 27th, 2011, 6:56 am

You can use Merrills MOVE (MOVE Index) for the Trsies, although that's an index, sorta like the VIX. It's a bit more difficult to get the actual ATM vol series bond futures, so if you're looking for smth quick and dirty, it might be easier to use swaption vols. For FX, just pick your tenor and you'll find the ticker for it easily enough. E.g. for 3m USDJPY ATM vol it's USDJPYV3M Curncy.
Last edited by Martinghoul on May 26th, 2011, 10:00 pm, edited 1 time in total.
 
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antk
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Joined: November 19th, 2008, 8:17 am

Implied vol for TSY, FX, oil and beyond

May 27th, 2011, 6:57 am

Take a look at the Move Index. It is the weighted average of vols on 2s, 5s, 10s and 30s.
 
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PlasticSaber
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Joined: April 28th, 2007, 8:17 am

Implied vol for TSY, FX, oil and beyond

June 8th, 2011, 7:21 pm

I have checked the MOVE index. Looks quite useful. FYI, the MOVE index is the abbreviation of "Merrill Option Volatility Estimate. This is a yield curve weighted index of the normalized implied volatility on 1-month Treasury options. It is the weighted average of volatilities on the CT2, CT5, CT10, and CT30". Checked further with BOA/Merrill, the weight is now 20% for CT2/CT5/CT30 and 40% for CT10.