Aug 12. VIX vs TY Vol

Last time VIX was above 15% in May, TY Vol was 4.67.  Today, TYZ 126 straddle settled 2’15 or 4.15 vol.  If it were 4.7, then the  straddle would have settled 2’34.

 

• ABOUT:
  Former member of the CME specializing in interest rate options and yield curve strategies.

  The risk of loss in trading futures and/or options is substantial and each investor and/or trader must consider whether this is a suitable investment. Past performance, whether actual or indicated by simulated historical tests of strategies, is not indicative of future results.