Vol Around the World – Volatility of All Global Equity Indices Near Lows

by Enis May 9, 2013 2:00 pm • Commentary

While the 3 month volatility in the SPX has been solidly below its 52 week average for all of 2013, the volatility metrics for the other global indices have popped higher on occasion this year.  But with the SPX breakout above 1600 last Friday, all global equity markets have joined the move higher, and their volatility measures are now back to near the lows of the year as well.

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

VCA Snapshot 050913, Courtesy of Bloomberg
VCA Snapshot 050913, Courtesy of Bloomberg

The DAX index in Germany also made a new all-time high this week, and its volatility measure is essentially at its lowest point of the past 52 weeks.  The only areas of average to high volatility are commodities and the Japan-related assets, the Nikkei and the yen.  The USD/JPY cross is breaking the closely watched 100 today, another sign of increased risk appetite.

Realized volatility has also followed implied volatility lower, with volatility across asset classes this week quite low.  Until that changes, implied volatility is likely to remain near 52 week lows.