A major story in late 2009 was the negative correlation between equities and the U.S. dollar. In the chart below, I show the correlation of the logarithmic daily price changes of the S&P 500 and the U.S. Dollar Index futures composite. It appears the attention has been well deserved: both the 3-month and 1-year rolling correlations are the lowest they’ve been in at least two decades.
No sooner than some investors began noticing the negative correlation, others started calling…
Volatility Tracker for the week of October 12, 2009
Traders have become increasingly focused on the role that the dollar is playing in exacerbating rallies in equities, gold, and other assets, with concern in some quarters about a more precipitous dollar decline to come. At least on the implied volatility front, there’s no sign of such worries yet. EVZ, the index that tracks VIX-style implied volatility for FXE (a EUR/USD ETF) is pushing to new all-time lows. Note that sudden…
Volatility Tracker for the week of September 14, 2009
The dollar continued slouching toward Harare, and it is anybody’s guess whether the trend will reverse anytime soon. I track price and volatility changes in FXE, the USD/EUR ETF, at [2,3]. The implied volatility index for gold closed down nearly 6%, in line with the expectations expressed last week.
I can’t recommend enough giving a weekly glance at the Implied Daily Move table. These are simply the point and percentage changes…
Friday, January 22, 2010
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