SCEG OATT Formula Transmission Rate Filing.pdf - SCANA ...

20091231-0037 FERC PDF (Unofficia1) 12/29/2009
Direct Testimonyof Michael J. Vilbert
Docket ERIO· -000
Page 17of35
EXHIBIT NO. SCE-13
CBOE S&P 500 Volatility Index (VIX)
January 2000 through September 2009
90,------------------------------------------------------,
80 --------------------" -------------------------------------
70 ---------------------------------------------------------
60 ---------------------------------------------------------
50 -------------- - ----------------------------------------
40
30
20
10 ---------------------
O+--r--.-~~--~_,--,__r--._~_,--~_,--,__r--._~_,--~
##~~###~##~~##~~####
################~#~#
Source: Data pulled from Bloomberg as of September 30, 2009
Figure 3
1
2
3
Prior to the crisis, average volatility was in the 10-20 percent range, but it spiked to 80
percent in late 2008. Although volatility has decreased substantially over the last couple
of months, it is still higher than the average value for the first half of 2008.
4
5
6
The Federal Reserve's efforts to stimulate spending via interest rates cuts have resulted in
the drop of the federal funds rate as indicated in Figure 4 below. The yield on the
Treasury bills is also at extraordinarily low levels with yields close to zero.