Vol Around the World – Global Equity Volatility Rising

by Enis May 24, 2013 1:09 pm • Commentary

Volatility markets are starting to rise in lockstep across asset classes.  The commodity markets were the first to see increased volatility this spring, followed by the currency markets in the past couple weeks, and then the equity markets globally this week.

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

VCA Snapshot 052413, Courtesy of Bloomberg
VCA Snapshot 052413, Courtesy of Bloomberg

Commodity and currency implied volatilities are now mostly above their 52 week moving averages, with the exception of oil and EUR/USD, which have been relatively unchanged in the past month.  Meanwhile, implied volatilities for most global equity markets are also inching up towards their 52 week moving averages, driven by this week’s rise.  Japan, of course, has had elevated implied volatility all year, and the yen and the Nikkei are both still near their 52 week highs.

I still have a long VIX position in anticipation of increased volatility in the next month, and view it as a better risk/reward trade than trying to guess the next direction of the broader SPX index.