Implied volatility has started to tick higher in the past week. While implied vol levels are still well below average for most assets around the world (excluding Japan), the move up in the past week is the first significant bid to volatility since the start of 2013.
Here is this week’s Vol Around the World snapshot, courtesy of Bloomberg:
Last week, the implied volatilities of practically all assets were close to their 52 week lows. Today, equity index volatility is closer to the 52 week mean, particularly in the Euro Stoxx index, which has fallen 4% in the past week. But even the SPX, which is up slightly in the past week, has seen a tick up in its implied volatility.
Commodity volatility remains exceptionally low, but currency volatility has also increased as the currency war rhetoric has spread from Japan, to Europe, to emerging markets. So far, no comments from American officials, but my sense is that eventually, if current monetary policy continues apace, other governments will start to institute protectionist measures to protect their domestic markets.