3 month Implied Volatility has hit new 52 week lows for multiple assets in the past week. Not surprisingly, the SPX index IV is now at new lows for the year (and for the past 5 years). What is surprising is that gold, oil, copper, and the AUD / USD pair, all commodity related assets, have all made new 1 year lows in implied volatility readings. That’s despite their recent weakness in price action.
Here is this week’s Vol Around the World snapshot, courtesy of Bloomberg:
Vol traders across the world have no desire to own options as realized volatilities remain low. The interesting change among global equity markets has been Europe in the past week. Whereas European volatility was a bit more in demand in February, European indices are back near their 1 year lows in implied volatility this week. The DAX has broken out to a new 5 year high, and its all time high from July 2007 is within 1%, similar to the SPX index.