Rather than write about the over-analyzed FOMC meeting later today (where the reaction probably matters more than the news anyways), I wanted to look briefly at how quiet the markets have become ahead of the today’s announcement. Normally, September is when markets start to get more volatile as everyone returns from August vacation. In 2013 though, volatility died when September arrived.
10 day realized volatility in the S&P 500 is near the lows of the 2012-2013 period, which is saying something given that this metric has not risen above 23 during this entire period:
It’s not just stocks. Even rates, which have made headlines on their rise, have been very quiet in September. 10 day volatility for the 10 year swap rate:
Finally, currency volatility has been non-existent as well. Dollar 10 day realized volatility has fallen to its lowest level in the past 6 months:
Whether the FOMC today results in an even quieter regime or a renewed volatility spark is a crucial question for options traders. For now, the VIX at 14.5 means most traders see the former scenario as more likely than the latter.