Tuesday, March 31, 2020

Volatility Measures Calming Down, But Still Denote A High Level of Risk

The bulk of this evening's market notes are essentially more of the same, so I'll spare you all but the following on volatility. This is for those of you who like getting a bit deeper into the weeds:

One development worth noting today was the across the board decline in implied volatility reflected in the asset class vol indexes we track. Save for oil, and to a lesser degree the Dow, this has been the trend over the past couple of weeks. 

That said, while we may indeed, therefore, see fewer extreme moves going forward, at 53.5 the SPX VIX still denotes a very high level of risk among U.S. large cap stocks... In fact all of the assets we track still exhibit markedly elevated (albeit less so than 2 weeks ago) vol scores -- and, thus, elevated market risk -- relative to the past several years:


SPX VIX


NASDAQ-100 VIX


DOW VIX


RUSSELL 2000 VIX


EFA VIX


EM VIX

TREASURY NOTE VIX


GOLD VIX


SILVER VIX


CRUDE OIL VIX

No comments:

Post a Comment