Quote from newbunch:
Anybody else notice that TNX quotes have been messed up the last few days? Today, it keeps jumping from about 43.30 to 42.90 and then back, which is not what is happening in the market. Then, it dove to 3.30 before returning to normal. Weird stuff was also happening yesterday.
I wanted to know if anybody else watches the TNX and is seeing this before I contact IB.
I tried calculating the yield using ZN (I think I used Excel's RATE equation), but couldn't get the right answer. Do you know what equation and variables to use?Quote from landboy:
Ya, I noticed them, you can use the ZN prices on CBOT as an alternative (I guess you'd have to calculate really quickly in your head what the yield comes out to)
Tried RATE and YIELD and didn't get anything that match TNX. Here's the best equation I got: =YIELD(TODAY(),TODAY()+365.25*10,0.06,C6,100,2)Quote from newbunch:
I tried calculating the yield using ZN (I think I used Excel's RATE equation), but couldn't get the right answer. Do you know what equation and variables to use?
Are you serious? That a major problem! How far back does this problem go?Quote from local_crusher:
There is an error in index calculation directly at the source,
the CBoE.
All data vendors who do not their own calculations are subject
to these wrong quotes.
I hope CBoE gets this fixed soon, it messes up my charts.
In the meantime, you may want to switch over to FVX, as
TYX is also affected.
I have an automated (EOD) trading system that relies on accurate quotes. I need good TNX numbers (not bad quote or values that are close, but accurate quotes).Quote from local_crusher:
newbunch,
the problem occurred first yesterday, I think. Or the day before,
but not earlier.
When calculating the yield from ZN, you need to consider cash interest and ZN days to expiration as well.
I am not really good with theoretical bonds and options stuff,
so better ask sbdy else.