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:
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.