Thursday, November 19, 2009

Panic Ratio and Panic Ratio 2.0

for all the talk of the crisis having past, the Panic Ratio continues to hint at something decidedly different.

but at this point the ratio loses some of its usefulness with the T-Bill yields at zero, so moving forward we will also pay attention to a milder version, the VIX divided by the 2 year Treasury yield. we'll call it Panic 2.0.

looking good.