Vol Around the World – Japan the Volatility Leader

by Enis June 7, 2013 12:37 pm • Commentary

Even though the SPX is actually 10 handles higher week-over-week, implied volatility has held up better than would be expected across global equity markets.  Vol for the major equity indices are right around their 52 week average, after spending most of 2013 well below that average.  The Hang Seng and the FTSE both moved above that average, as both markets severely underperformed this week.

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

Screen Shot 2013-06-07 at 12.24.13 PM

Meanwhile, commodity and currency volatility is mostly lower compared to last week, with the glaring exceptions of USD/JPY and AUD/USD.  Both of those crosses are at or near their highs of the last year in implied volatility terms.

The realized volatility in both of those crosses has is also near 1 year highs, with the USD/JPY 5 day volatility up to 21, and the AUD/USD 5 day volatility around 15.  Crude oil has been the most quiet market, with the largest spread between current 3 month implied volatility and its 52 week average.

Once again though, the volatility standout has been the Nikkei, which closed the week right near its 1 year (and multiyear) highs in implied vol, after another nasty week, down another 7%.