Calmer markets have returned. Even though it’s been a low volatility environment for essentially all of 2013, the correlation of volatility has been quite high. That’s to say, vol has risen together for most asset classes and geographies at the same time, and vol has fallen together at the same time. Of course, with the exception of anything in Japan.
The past week has been an “all vol falls together” week.
Here is this week’s Vol Around the World snapshot, courtesy of Bloomberg:
As I mentioned in yesterday’s VIX Snapshot, the real question is whether realized vol remains elevated, or the anticipated quiet does indeed resume. Current implied volatility levels are quite low if realized vol remains where it has been for the past couple weeks, including commodities and other global equity markets, not just the SPX index.
The one area of calm in the market has been currencies. The dollar is relatively unchanged vs. most crosses over the past month. All eyes are on the ECB meeting next week as the EUR/USD cross keeps hugging the 1.30 level. It could also be a trigger for some big moves in other asset classes if “special” measures are announced.