VIX Tag

The Election has Crushed Volatility

06 Nov, by Bryce Coward, CFA in Markets

As election results continue to trickle in suggesting Joe Biden will be the next president, there still remains a bit of uncertainty with respect the final electoral vote tally as well as any legal challenges that will emerge in the coming days. Even still, the...

Why the Fed Cut Rates by 50bps: Will it Help?

03 Mar, by Steven Vannelli, CFA in Economy, Markets, News

Despite the relief rally yesterday, financial conditions have tightened significantly in the last couple weeks. This likely explains why the Fed just made an emergency 50bps cut to the fed funds rate. The graph below highlights that the two main areas of weaker financial conditions...

The Low Level of the VIX Isn’t a Mystery

30 Nov, by Bryce Coward, CFA in Markets

The drop in the VIX to ultra-low levels in 2017 has been a point of consternation for market participants and largely misunderstood. Some market participants view the low level of the VIX as an indication of excessively positive sentiment among investors and thus a contrary...

Is Equity Volatility Set to Rise?

14 May, by Knowledge Leaders Team in Markets

Even casual observers of the forex markets will have noticed that it has been a bit of a wild ride over the last several months.  And, while currency volatility has spiked, equities have remained relatively placid.  If this chart showing the historic relationship between the...

Is Volatility Making a Comeback in Europe?

21 Apr, 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...

SKEW Has Moderated Somewhat, But Remains Elevated

19 Mar, by Knowledge Leaders Team in Economy

While the CBOE SKEW Index has fallen back somewhat from highs last fall (see our comment here), it remains quite elevated– both relative to history and on an absolute basis.  Indeed, the further the index rises above 100, the higher the probability of ’outlier returns’.  For...

Has Currency Volatility Bottomed?

09 Sep, by Knowledge Leaders Team in Uncategorized

With the major currencies making new 1-year lows against the USD, and with the GaveKal FX Volatility Index at two standard deviations below the long-term mean, we wonder if currency volatility has bottomed....

Update on VIX Curve Inversion

06 Aug, by Knowledge Leaders Team in Uncategorized

A few weeks ago, we noted the relationship between an inverted VIX curve and declines in the S&P500 (see here).  Taking a longer-term view, we see that the last few years have been relatively quiet–characterized by few, intermittent inversions and minor pullbacks in the index....

An Inverted VIX Curve and the S&P 500

18 Jul, by Knowledge Leaders Team in Uncategorized

Demand for increasing protection against stock losses increased yesterday, as the price of the VIX jumped relative to the price of its own futures.  In the past, an inversion between the spot and 3-month prices has signaled a decline in the S&P 500....

What Does the Collapse of JPY/USD Volatility Mean for the VIX?

02 Jul, by Knowledge Leaders Team in Uncategorized

A lot has been written recently by us and others about the absolute collapse in volatility in financial markets. Whether stocks, bonds, FX or commodities, volatility is making multi-year lows, but the lack of volatility in the JPY/USD cross is among the most stunning of...

The Company We Keep

18 Oct, by Knowledge Leaders Team in Uncategorized

QuestionWhat are speculators long right now? Answer1) Stocks – from the E-mini S&P500, to the E-mini NASDAQ, to the E-mini Dow, to the E-mini Russell 2000 QuestionWhat are speculators short right now?...

VIX and High Yield Spreads

09 Oct, by Knowledge Leaders Team in Uncategorized

Over the last five years, the CBOE Volatility Index (VIX) has had an 87% correlation with high yield spreads.  If the VIX keeps rising, high yield spreads are likely to widen....