Vol Around the World

by Enis January 10, 2013 2:12 pm • Commentary

The U.S. stock market is more directly impacted by global events than in decades past.  One simple illustration of that phenomenon is how the ownership of U.S. stocks has changed.  Here is a great table, courtesy of the splendid team at Global Macro Monitor, showing the breakdown of ownership in the U.S. stock market over the past 20 years:


Screen Shot 2013-01-10 at 1.28.42 PM



The rest of the world has gone from owning about 7% of the U.S. equity market in 1990 to owning about 13.5% of the market today.

In that context, we are starting a new weekly series called “Vol Around the World” where we look at implied volatility for various asset classes.  Though we are U.S. options traders, it’s worthwhile to periodically gauge the pulse of global options pricing.

Here is the inaugural Vol Around the World snapshot:


Screen Shot 2013-01-10 at 1.45.46 PM



The table, courtesy of Bloomberg, shows the current 3 month at-the-money implied volatility for major macro asset classes.  That’s the first column labeled “Vol”.  The “Chg” column is the one-day change, the “Low” and “High” columns are the 1 year highs and lows, the “Range” column shows the current level with a blue dot, and the 1 year average level with a red dot, and +/- column on the far right is the difference of the current level relative to the 1 year average.

The only asset whose 3 month implied volatility is above its 1 year average is USD / JPY, which is not surprising given its breakout and more chatter of money printing by the Bank of Japan.  All other asset classes are basically at 1 year lows in implied volatility.  So no intriguing relative insights, just plain old low volatility across the board.