As the market struggles for direction (SPX has closed within 20 points of 1550 for the past month), implied volatility is not moving much either. Last week saw a rise in European assets’ implied volatility, but the U.S. did not react much. Most markets are close to flat this week, so the implied volatility picture is similar to last week.
Here is this week’s Vol Around the World snapshot, courtesy of Bloomberg:
I am still surprised at the low levels of implied volatility in the commodity complex, as all are trading below their 52 week moving averages despite selling off hard over the past week. Commodity traders seem more interested in selling their positions rather than buying protection through options.
In the currency market, yen vol continues to be the story, as the Japanese yen’s huge move overnight has taken 10 day realized vol in the yen to 20, its highest level since the flash crash in May 2010.