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