Vol Around the World – Jittery, But Stable

by Enis May 30, 2013 2:19 pm • Commentary

Volatility markets in every asset class except bonds are in almost the exact same spot they were a week ago, as markets have been jittery, but largely unchanged over the past week.  The volatility in the bond market has moved higher on this week’s bond selloff.

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

Screen Shot 2013-05-30 at 2.09.23 PM

Equity volatility is a touch lower as most markets are a bit higher today than they were a week ago.  Japanese equity markets are actually lower than they were a week ago, but volatility is a bit lower there too, as this week’s volatility, while high, has not matched last week’s intraday 9% move.  With the exception of Japan though, implied volatility in most global equity markets is right around the 52 week average.

Gold implied volatility is a couple points lower as precious metals have rallied this week.  But gold implied volatility is still above its 52 week average as the metal works to put in a bottom.

Currency volatility is lower as well.  Interestingly, the dollar is close to flat vs. most currencies, with the exception of the Euro, which has shown strength vs. the rest of the world this week.  Emerging market currencies have been the weakest, with the Brazilian Real, the Turkish Lira, the Mexican Peso, and the South African Rand all seeing aggressive selloffs this week.