One of our most requested data sets are those relating to bid/offer using real traded prices.

We thought it would be interesting to plot our PV Bid Offer Index (PVBOI) against the VIX index.

As expected the two indices show a similar pattern over time, demonstrating how volatility and bid offer spreads move in tandem.

What we didn't quite expect to see is how PVBOI actually seems to react faster than VIX - both during the SVB and CS turmoil periods and also in periods of better stability and calm. 

Let us know if you would like a copy of the data or to access our indices for your own research.

Many of our clients are using our data to adjust month-end valuations and to verify trader marks for illiquids.