Vol Around the World – Implied Vol a Touch Higher

by Enis January 31, 2013 1:41 pm • Commentary

Implied volatility has stabilized in the last week after the previous week’s massacre.  In fact, the volatility levels across asset classes are quite similar to last week, just a tad higher overall.  The Nikkei and Yen are still the only 2 major asset classes with vol above their 52 week averages.

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


Screen Shot 2013-01-31 at 1.37.50 PM

While the VIX has moved higher in the last week (see yesterday’s VIX snapshot), the above screen shows 3 month implied volatility, which has not moved much for the SPX index or other equity, commodity, or currency assets.  The 1 month volatility had gotten very low across the world, and has bounced, but 3 month volatility pricing has been more stable.

Until global markets see a sustained week of high realized volatility, I don’t expect implied volatility pricing to move much from current levels.