Vol Around the World – Low Volatility Spreads, $VIX, $TLT

by Enis July 25, 2013 11:13 am • Commentary

Implied volatility in the U.S. stock market has moved to near the lows of the year (VIX at 13 is enough to show that).  For the first time since April though, implied volatility in the majority of asset classes is below the 52 week average.  It’s not just U.S. stocks that have calmed down.  European and Asian stocks are moving less, but so are commodities and interest rates.  Currencies continue to be the one area where implied vol is mostly still above average.

Here is the Vol Around the World Snapshot, Courtesy of Bloomberg:

Screen Shot 2013-07-25 at 10.34.14 AM


Even the Nikkei is right at its 52 week average, for the first time since early in 2013.  The only major commodity with implied vol above average is gold, which has been volatile since mid-April when it broke the longstanding $1500/oz support level.

Among currencies, EUR/USD vol is below average, and USD/JPY is close to average for the first time in many months as well.  Interest rate volatility has also fallen.  Here is the 30 day implied vol (blue) of TLT vs. its 30 day realized volatility (white):

30 day IV (blue) vs. 30 day RV (white) in TLT, Courtesy of Bloomberg
30 day IV (blue) vs. 30 day RV (white) in TLT, Courtesy of Bloomberg

As I mentioned in Tuesday’s Macro Wrap, the market is not pricing in much movement for the FOMC release next Wednesday, or the balance of earnings season.  Not just the stock market.  All  asset classes are expecting a quiet month ahead of us.