In the last week, the Nikkei is up about 10% while the Yen is down 7%, huge moves once again in Japanese assets. Not surprisingly, implied volatility in Japanese financial markets continues to be priced around 1 year highs.
Meanwhile, implied volatility on all other major asset classes remains priced near 1 year lows.
Here is this week’s Vol Around the World snapshot, courtesy of Bloomberg:
What’s interesting is that the SPX is up almost 3% in the past week, and implied volatility has moved lower, but realized volatility on most assets is actually up in the last week. The market is not expecting that recent realized volatility to continue, even in the commodity space where corn and gold have recently seen big moves.
As for Japan, see my Macro Wrap this morning for some long-term perspective on the Yen’s recent move. The move over the past 6 months is not unprecedented, no matter what most would have you believe. But rare for sure.