O'Reilly logo

The Eurodollar Futures and Options Handbook by Galen Burghardt

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

CHAPTER 25What Happens to Eurodollar Volatility when Rates Fall?

Galen Burghardt, George Panos, and Eric ZhangResearch note originally released October 18, 2001

We find that basis point volatility in the Eurodollar market has, for the past 10 years, been largely unrelated to the level of interest rates. As a result, we think that basis point volatility, as opposed to conventional relative rate volatility, is a better measure of volatility.

BACKGROUND

In the wake of the September 11 attack on the World Trade Center, implied Eurodollar rate volatility went through the roof. At the same time, Eurodollar rates fell a lot, raising questions about how one should interpret a volatility like 46.9 percent, which is the level at which implied relative ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required