Pues eso que andaba buscando graficos de volatilidad, concretamente del eustock 50 y DAX 30. Si alguien trabaja con opciones del eurex y saben donde estan estos graficos q me pongan el enlace. He mirado en eurexchange.com, pero no he conseguido verlo.
Gracias
Te contestéayer con este link...pero desapareció el hilo,por lo que lo dejé en el hilo en que Rankia avisaba de"las obras" en el foro.
Es este:
Espero te sirva.
Buenas tardes,
No estoy seguro, pero si trabajas con Interactive Brokers, creo que llevan incorporada esta herramienta http://www.analyzetrade.com/home y se actualizan automáticamente los datos, de todas formas no estoy seguro.
Saludos
Gracias de nuevo Miguel, pero no trabajo con ellos y si la pagina esta en ingles..... los videos tb, por lo que ná.
Saludos Migueln
Buenos días a tod@s,
Adjunto un webminar que versa sobre el analisis de volatilidad previo a la implementación de estrategias no direccionales con opciones. Link http://pfgbest.adobeconnect.com/p73775627/?launcher=false&fcsContent=true&pbMode=normal
Saludos y buen trading
Me encantan las asimetrías de la volatilidad del eurostokis:)
Bank of America dice...
A plethora of negative data points and headlines of late has resulted in a broad sell-off in risk assets and a rally in USTs with the US 10y yield now at its lowest level since December. The most concerning element has been the consistent weakness in the US macro data with growth expectations taken lower en masse. Much of the move in the bond market has been led by a clamour to short cover yet investors are still biased to get short at these levels. The move in equities has been more modest, with the light positioning keeping investors more sanguine about the ongoing concerns. Earnings continue to roll in strong and the pillar of strong corporate balance sheets leave most comfortable that equities will be higher a year from now. Equity investors are also more convinced of the “Bernanke put” in the form of QEIII than their bonds cousins. However, QEIII requires not only significantly weaker data from here but also much lower asset prices. If data fails to rebound and the market begins to seriously contemplate the possibility of QEIII, the realisation that the S&P was at 1050 when Bernanke softly announced QEII at Jackson Hole may change the current sanguinity in equity.
Nowhere is this sanguine attitude more evident than in equity volatility. Despite the increasing nervousness about growth prospects, the fall in bond yields and the widening in credit spreads the VIX remains well below 20. Credit sentiment is now notably more bearish and a further slowing in growth is likely to take the shine off high yield. So what closes the dislocation between credit and equity vol? If history is a guide, the emergence of credit investors looking to hedge their portfolios with cheaper equity options has the potential to make vol eventually react to the lower equity prices and weaker sentiment elsewhere. This is perhaps the catalyst necessary to clear out the current dislocation we are seeing. Running a simple regression of the BAML Volatility ETF, IVStoxx vs the Eurostoxx going back to September 2008 shows that at this level of volatility the spot should be 11% higher than current levels or for this level in the index vol should be 6 points higher.
We continue to hold a bearish tact on the desk with the weakness in the US consumer and housing market as well as the debt ceiling debate leaving us cautious for now. However, in the very near term we’re oversold and vol is too cheap so the potential for a short-lived squeeze is growing into the end of the week. Thus if we had one bullet here, we’d buy a July 2850 SX5E call on ca. 18 vol. If the market rallies we get the leverage, vol hasn’t got too much room to reset lower and we would reload our shorts with confidence. If the market tracks lower we will eventually see vol catch a bid and the vol remark will partially offset the loss on the delta. Either way, equity vol is certainly approaching attractive levels to own given the abundant macro risk and the relative spread in risk premium vs other asset classes.
Relación de Volatilidad con Nivel del Eurostoxx desde 2008
Buenos días,
¿Qué programa o página muestra esa información?
Saludos
Bloomberg,
