Volatility is ramping up

US Treasury Bonds, Futures, and Proxy ETFs (TLT, TBT...)

Volatility is ramping up

Postby michael » Thu May 28, 2009 12:23 pm

Looks like big money is finally betting on a big move ... Pretty even skew as well. Any thoughts on how the market will react to increase in QE ?
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Re: Volatility is ramping up

Postby vol-trader » Thu May 28, 2009 11:24 pm

do you have access to IV on Sep options for TYU9?

the only thing i can say about increased QE is that the dollar will get smoked.
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Re: Volatility is ramping up

Postby michael » Fri May 29, 2009 12:12 am

ATM for 30 yr: 19.35% on July. 19% on Aug and Sep. Thats for the 30yr.

For the ATM 10 yr (TY): 11.16%, 11%, and 10.92% for July, Aug, and Sep.
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Re: Volatility is ramping up

Postby vol-trader » Fri May 29, 2009 9:13 am

that's great. thanks

it'll be interesting to see how much it comes in if we retrace a bit of that move. i'd imagine vol is pretty directional right now.
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