The VIX (CBOE Volatility index) recently touched the fairly low level of 13 on October 24th. Since that day, it has seen seven straight up days and is now above 20 on today’s nearly 20% …
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As we start the day with futures indicating a down open for the 4th time in the last 5 days, the gradual nature of the decline since the Fed decision day is interesting. If the …
Continue readingClearly, 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 …
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 readingCalmer markets have returned. Even though it’s been a low volatility environment for essentially all of 2013, the correlation of volatility has been quite high. That’s to say, vol has risen together for most asset …
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