The CBOE has an interesting daily index that tries to measure the risk of a ”black swan” or a two-standard deviation from the mean type of event in the next 30 days....
We wrote yesterday about the collapse in JPY/USD volatility so we thought we’d quickly highlight other crosses are experiencing a dearth of volatility as well....
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...
Many investors, including ourselves, look at the CBOE VIX to measure market volatility. Over the past few days the VIX has made multi-year lows and is back at levels last seen in 2006-2007. Another way that we look at volatility is by tracking the standard...
One way to measure price volatility is to look at the intraday range an asset trades within (the intraday high minus the intraday low) and then compare that range to the asset’s price level. In this way we normalize the daily range for the prevailing...
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...
Over the last few years the range of intraday price swings for the S&P 500 (the intraday high minus the intraday low) has been a good indicator of short to intermediate term peaks and troughs in the market....
One way to look at volatility of stock markets is to look at the standard deviation of returns or a volatility index like the VIX....
We often group stocks into either cyclical or counter cyclical baskets based on their GICS sector, and then measure the attributes of each group. The below chart shows the 20 day volatility of the counter cyclical basket of stocks relative to the cyclical basket....
