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It is ironic that as TYVIX was venturing in its bottom quintile – below 5 – U.S. regulators announced they are considering steps to control Treasury market volatility (announced Tuesday at a Federal Reserve Bank of New York conference). TYVIX is CBOE’s benchmark for Treasury volatility, and the reason it is decreasing is that strong demand from U.S. investors is supporting the price of Treasury notes despite China’s sell-off. On the equity side, a slight increase of the CBOE VIX Index at the beginning of the week was erased after the ECB committed to further stimulus if needed, and China cut its interest rate.  The only VIX-like volatilities that are holding up to the influx from global central banks are EUVIX, BPVIX and JYVIX.

Figure 1.  Distribution of TYVIX



Weekly Update of Volatility Indexes


102315Fig2Term Structure of VIX and TYVIX Futures

The term structure of VIX and TYVIX Futures remain in contango, a sign that volatility risk still garners a premium.102315Fig3