Vol Around the World – Volatility Ticks Higher Everywhere

by Enis March 21, 2013 2:29 pm • Commentary

After hitting new lows last week, the market has gotten a bit more jittery in the past week across all asset classes.  But just a bit.  3 month implied volatility is still near the lower end of the 52 week range for anything non-Japan related.  Most notable is the pickup in EURUSD vol this week, as the currency cross now has implied volatility in line with its 52 week average.

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

VCA screen 032113, Courtesy of Bloomberg
VCA screen 032113, Courtesy of Bloomberg

Despite the general feeling among traders that European crisis mode is back, the actual volatility measures in the market are much, much lower than previous crisis episodes.  The VIX is still only at 14, and 3 month implied volatility on the SPX is around 13.  During crisis periods in 2010, 2011, or 2012, both of those measures were routinely between 20 and 35.  I’m not saying I expect such levels soon, but I bring it up to put into context the recent “jittery” environment.  Relative to the past few years, it’s still a very calm backdrop (possibly complacent?) overall.