Monday, October 20, 2008

Falling TED followed by easing volatility.

First picture on the left, courtesy of Bloomberg, shows falling TED Spread. Difference between 3 month T-bill interest rates and 3 month LIBOR. Especially today we see dramatic decline below 3.

Someone could call TED Spread as a new volatility indicator in current market. Unfreezing credit market is lifting equity markets and easing volatility. It really goes in line with CBOE Volatility index VIX.

Second picture, courtesy of Yahoo, is 5 days trend with VIX and as you can see today is crossing below level of 60.

I am giving you two links where you can check TED Spread and Volatility index VIX.


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