Anybody else short US 30 Bond

http://www.cmegroup.com/market-data/reports/historical-volatility/10yr-treasury-note-volatility.html

 

great link.

The only problem I guess now is how can I implement this statistic into an automated strategy? Guessing there is no "bond vix".

IYO does it generally follow the SP500 vix? Or do you think that would be a good starting point?

Thanks man

 

Hmmm. Just re read this thread from October 2008 and this Ronin08 guy made several calls and was never wrong. Hmmm..

 

There is a "bond vix". It's called the Merrills MOVE index.

 

I think it was invertedCurve who mentioned that correlations (obviously historical ones) have not been working at all lately.

Having been successfully trading for a couple of years now several of my correlation-based strategies are struggling big time (actually I know for a fact that I am now alone on this one) and was just wondering if people using similar strategies believe this is just temporary or fear (?!) that the market has fundamentally changed (which most likely will happen at some point... or has just happened)...

Looking back i remember that the chaos after Lehman went down was similar, though it was over after a few weeks and even then the movements were not as aggressive as the current ones...

Just wondering if people have noticed a similar pattern...

 

Excellent, you are a gentleman and a scholar. I will look into this.

 

y'all enjoying this ES, Zn and Zb chop as much as I am? I guess everyone else in Chicago had a rough weekend on the body like I did...

 

hmmmmmm why is this steepening?

 

What iz zis? NOB or NOL?

 

cash NOB 104.6 bp high coming off now. damn there were some high stepping stop seekers at 9:04am 30,996 Zn trade from 123.12 to 16 in a 2 minutes! I was short @15 but I waited and got em back lower...