Volatility 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...

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...

Energy And Utilities Have Been The Most Volatile Sectors

04 Mar, by Knowledge Leaders Team in Markets

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...

VDAX Set to Rise?

21 Jan, by Knowledge Leaders Team in Markets

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....

Intraday Volatility has Disappeared (Again)

20 Nov, by Knowledge Leaders Team in Uncategorized

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....

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....