Vol Around the World – Vol Crush In All Assets

by Enis January 24, 2013 3:49 pm • Commentary

Implied volatility is getting sold in all asset classes now.  Last week, FX vol had ticked up a bit, but that has moved back lower in the last week and joined its equity brethren in trading near 5 year lows.

Here is this week’s Vol Around the World snapshot, courtesy of Bloomberg:


Source:  Bloomberg
Source: Bloomberg

The blue dots in the 1 year range have all returned to the left side of the range, with our exceptions of the two Japanese related assets, the Nikkei and the Yen.  All commodity futures are also at 1 year lows in volatility, illustrating how wide the low-volatility regime has spread.

FX volatility has also returned to below average for all crosses except the yen.  While expectations for global volatility seem low, the real driver of those expectations is realized volatility.  As long as most asset classes are not moving much from one day to the next, then implied volatility will remain depressed.  For today at least, that’s not happening, as we’re on track for another unchanged day in the SPX.