The past 2 days have sent the VIX up more than 3 points, and global volatility has risen in tandem with the increased jitters. However, while the move in volatility seems fast and furious, it only brought implied volatility levels up from 5 year lows. Most global assets still sport implied volatility readings that are below their 52 week average (as shown by the blue dot to the left of the orange dot in the table below).
Here is this week’s Vol Around the World snapshot, courtesy of Bloomberg:
I’m a bit surprised that the commodity market still has not surpassed its 52 week implied volatility average, particularly given gold’s move in the past week. It’s another indication of how low vol has been recently.
The foreign exchange market is showing the highest volatility readings as a group. The Euro, Aussie dollar, and Swiss Franc moved up to near their 52 week average, while the yen and the pound have implied volatilities well above the average of the past year.
In the equity market, European and Asian markets showed weakness before the U.S., but volatility in all equity markets only jumped after the U.S. finally joined on the downside.
All in all, a market that is more nervous than it has been in the past 6 weeks, but particularly in the currency and commodity markets. The equity market still a picture of calm in comparison.