Volatility Tracker for the week of December 7, 2009
The jump in volatility indexes noted in our previous report was met with a similar decline last week.[2] The VIX could easily make a new 52-week low before 2009 is through. Gold implied volatility advanced sharply on Friday’s price decline [3], with GVZ closing just shy of my 30% short-term target. The shift in the volatility skew in gold deserves attention: if traders continue to pay higher premiums for downside protection…
Volatility Tracker for the week of October 26, 2009
As I’ve noted on many occasions here, the relationship between spot VIX and longer-dated VIX estimates has not “worked” as a directional indicator for at least several months. [7,8] This looks like a genuine puzzle: the premium VIX futures traders are willing to pay and/or requiring in order to sell is too steep and has been too persistent to be dismissed as a phenomenon typical of the “wall of worry” that…
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 28, 2009
The spread between the volatility realized in the S&P 500 over the last 30 calendar days and the volatility implied in S&P 500 options 30 calendar days ago is about the widest that it has been this year, with the exception of a similar instance in early August. [5,6] That means stocks haven’t been nearly as volatile as index option prices have assumed they would be. Put another way, it has…
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…
Monday, December 7, 2009
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