Clearly, all markets are more volatile than they have been for at least 18 months. Not much to add, just wanted to add the table showing that all implied volatilities are now above their 52 …
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The first trading desk I ever spent time on was the FX trading desk at Merrill Lynch in New York. The currency markets are the largest in the world, but they are also the least …
Continue readingEven 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 …
Continue readingVolatility 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 …
Continue readingVolatility 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 …
Continue readingVolatility in all asset classes has ticked up in the past week, but the real movement has been outside of the stock world. I discussed in yesterday’s VIX Snapshot some potential reasons why equity volatility …
Continue readingWhile the 3 month volatility in the SPX has been solidly below its 52 week average for all of 2013, the volatility metrics for the other global indices have popped higher on occasion this year. …
Continue readingWith the SPX making a new all-time high today, how has the vol market reacted in the past week? Equity implied volatility is back near the 52 week lows in the U.S., while global equity …
Continue readingEvent: RHT reports its fiscal Q4 earnings after the close today. The options are pricing in about a 8% move (based on our own implied move calculator), relative to 8.5% avg. move over the past 4 …
Continue readingEvent: ORCL reports their fiscal Q3 earnings Wednesday after the close. The options market is implying a 3.5% move vs the 4 qtr avg of about 2.5% and the 8 qtr avg of about 3.8% …
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