With the SPX making a new all-time high today, how has the vol market reacted in the past week?
Equity implied volatility is back near the 52 week lows in the U.S., while global equity vol has not fallen as sharply. Commodity volatility is still much more elevated than stock volatility, but it’s generally been moving in the same direction in the past week. Meanwhile, currencies have been trading in their own world, with the dollar broadly higher today, and implied volatility in the FX world generally higher as well.
Here is this week’s Vol Around the World snapshot, courtesy of Bloomberg:
Realized volatility is higher than it was one month ago for every single asset class. But the broader markets have not had a significant spike in macro volatility in more than 18 months, so the vol sellers are quick to attack on the first sign of quiet. The blue dots (denoting current vol levels) have not been above the orange dots (52 week average) for all of 2013 for equity indices. At some point in 2013, they will be higher, but nobody knows when.