VIX for Bond markets

Discussion in 'Educational Resources' started by trillenium, Nov 1, 2005.

  1. I am looking for historical data for an implied volatility index based on the bond market (Tbonds, Bund etc) - does anybody know where i can buy that ?
  2. Quiet1


    a while back i read the new methodology for VIX calculation and noticed that it does not actually include the implied volatility of the underlying options as its primary input (it uses actual option prices).

    from then i wondered whether the methodology could be adapted to any market and used to derive a VIX-like index for it.

    anybody tried this?

  3. garbo