{"id":10217,"date":"2010-03-22T23:20:53","date_gmt":"2010-03-23T03:20:53","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=10217"},"modified":"2010-03-22T23:20:53","modified_gmt":"2010-03-23T03:20:53","slug":"gwo-pwf-perpetualdiscounts-implied-volatility-goes-negative","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=10217","title":{"rendered":"GWO, PWF PerpetualDiscounts: Implied Volatility Goes Negative"},"content":{"rendered":"<p>The recent slide in PerpetualDiscounts has been particularly hard on insurers &#8211; and particularly the lower coupon issues in a continuation of the trend discussed in <a href=\"http:\/\/www.prefblog.com\/?p=9927\">MAPF: February Performance<\/a>.<\/p>\n<p>In fact, implied volatility has gone negative:<\/p>\n<div align=\"center\"><a href=\"http:\/\/www.prefblog.com\/wp-content\/uploads\/2010\/03\/PWF_ImpVol_big.jpg\"><img decoding=\"async\" src=\"http:\/\/www.prefblog.com\/wp-content\/uploads\/2010\/03\/PWF_ImpVol_small.jpg\"><\/a><br \/><i>Click for Big<\/i><\/p>\n<p><a href=\"http:\/\/www.prefblog.com\/wp-content\/uploads\/2010\/03\/GWO_ImpVol_big.jpg\"><img decoding=\"async\" src=\"http:\/\/www.prefblog.com\/wp-content\/uploads\/2010\/03\/GWO_ImpVol_small.jpg\"><\/a><br \/><i>Click for Big<\/i><\/div>\n<p>Both graphs have been prepared using the <a href=\"http:\/\/www.prefblog.com\/?p=9733\">Straight Perpetual Implied Volatility Calculator<\/a> and, for purposes of the theoretical curve, setting the implied volatility to 15% \/ 3 Years.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>The recent slide in PerpetualDiscounts has been particularly hard on insurers &#8211; and particularly the lower coupon issues in a continuation of the trend discussed in MAPF: February Performance. In fact, implied volatility has gone &hellip;<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[13],"tags":[],"class_list":["post-10217","post","type-post","status-publish","format-standard","hentry","category-issue-comments"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/10217","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=10217"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/10217\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=10217"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=10217"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=10217"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}