Where Art Thou Volatility?May 28, 2014
Over the past 31 days, volatility in the MSCI World, as measured by the standard deviation of the daily percent change in the index, has fallen to levels last seen in November 2006. The 252-day moving average (one year’s worth of trading days) has fallen to levels last seen in August 2007. It goes without saying that this market is about as dull as it gets.
The story holds when we look at the regional indices as well. The 252-day moving average for the MSCI North America is at similar levels last seen from 2004-2007. Volatility in Europe as has fallen quite dramatically over the past two years and in Asia-Paciic while volatility is at a higher level on an absolute basis, it has fallen there as well.