Index Dashboard: Risk & Volatility March

S&P Global
By March 21, 2019 11:02

Index Dashboard: Risk & Volatility March

COMMENTARY

As December’s price swings in U.S. equities fade into history, VIX has declined back to the low teens and – despite the potential for an upset from today’s Federal Reserve announcement – the volatility gauge closed last night at a serene 13.56.

Given the sub-14 level of the spot VIX, the current VIX futures curve is relatively flat – with only 5% separating the front month from the frontnext. Combined with the relatively low level of the VVIX (volatility of volatility), this suggests market participants are not anticipating a significant rise in the VIX in the short term.

 Most volatility measures have declined since our last report, and the majority of our reported volatility indicators closed last night well below their trailing 200-day averages.

Providing an exception to the rule, the pound sterling continues to offer a potential source of risk to the markets. The U.K. government’s failure to find a form of “Brexit” that is acceptable to both the U.K. parliament and their counterparts across the Channel has provided a steady stream of headlines for the media. Meanwhile the Cboe/CME GBP Volatility Index has risen by 0.32 since our last report, closing last nigh t at 11.50.

After a torrid 2018, could selling VIX futures come back into fashion? The S&P Daily Inverse Short-Term VIX Index has risen 14% in the last month, and now stands up 56% year-to-date. 

S&P Global
By March 21, 2019 11:02

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