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...
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...
Volatility, as measured by the standard deviation of the the daily percent change in stock prices, has fallen since the beginning of the year in the MSCI World Index. The one month moving average of volatility has dropped to 0.54 from a high 0.86 on...
In recent history, each time the EUR has fallen relative to the dollar, the implied volatility of the German DAX has risen– sometimes rather sharply....
The last several weeks has undoubtedly seen some major moves in asset prices especially in the commodity and currency spaces. Yet, relative to history volatility in most asset classes still remains below average with the exception of the bond market....
We have had a small pickup in volatility in the equity markets since October....
Regular readers know that we have been harping on the lack of volatility all year (few posts here and here) so it should come as no surprise that we are, once again, calling out the absolute evaporation of intraday volatility in US stocks....
After an extended period of extremely muted volatility in virtually every major asset class, volatility is finally starting to pick up, as it was always likely to do....
The 31-day standard deviation for the daily price change of MSCI World Index has increased from a 20-year low of 0.27% in July to 0.59%. This puts it at the approximately the average level realized in 2013 but still well below the average levels since...
It was only a few months back when we began feverishly highlighting here, here, here, here, here, and here how volatility in many markets was at or near generational lows and that any move to return to the mean would be disruptive....
One of the ways we measure volatility in the stock market is to calculate the average realized volatility for constituents in various indexes. It’s no secrete that volatility has been muted pretty much everywhere, with the emerging markets being no exception....
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....
One way to view the risk profile of a group of companies is to measure the average standard deviation of price changes for that group. We do this for all the sectors and countries comprising the MSCI World Index. This idea is to see how...
A few weeks ago we wrote that the volatility of JPY/USD cross had absolutely collapsed and so we thought we’d give our readers an update to that post. Well, volatility in the JPY/USD cross has fallen even lower since then and is now pushing 40-year lows...
We highlighted a few weeks ago the absolute collapse in FX volatility, especially volatility of the JPY/USD cross, but the fact is that volatility in most asset classes is testing its lower limits historically. That is, to be specific, all the major liquid asset classes...
