Volatility Tracker for April 10, 2009
As mentioned in the comment, we don’t expect equity indexes to move much higher, if at all, without some moderation in the ratio of 3-month to 1-month implied volatility. That’s not a causal relationship we’re positing (!), just a tentative correlation that seems to have held up well over the past year or so.
If it moves, we will track it.
Fri, Apr 10, 2009 | Jared
Market commentary, Volatility