Is Volatility Making a Comeback in Europe?

April 21, 2015

By Knowledge Leaders Team in Markets

Having fallen from the recent highs earlier this year, various metrics of volatility in Europe have risen abruptly in the last few days- especially when viewed in the context of a rather subdued VIX (a measure of expected market volatility conveyed by S&P 500 options prices; represented by the light blue line below):

Compared to month-ago levels, both the VStoxx (a measure of expected volatility in European shares; dark blue line) and the VDAX (the implied volatility of the German DAX; red line) have had double-digit increases:

Taking a look at the spread between the VStoxx and the VIX , we can see that, while the overall trend is slightly down over the last five years, the recent widening is approaching levels not seen since the crisis in 2011/2012.

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Tags > Europe, VDAX, VIX, Volatility, VSTOXX

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