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Risk & Volatility Dashboard See how volatility measures and indices could help mitigate risky market environments.

• After near-vertical rally led by the most battered U.S. equity market segments, concerns that valuations were becoming extended triggered a wobble in the S&P 500® over past two weeks. VIX® broke its downward trend and revisited the 40s on June 11, although it has since declined; closing at 33.47 yesterday.



• As well as (and unusually for) a high VIX, both Skew and implied volatility of VIX are particularly elevated. Together, these readings indicate an options market wary of an imminent change in the volatility regime – consistent with a general sense that the market is priced for a rapid recovery in earnings, but with wavering conviction.



• Despite the near-full recovery in the S&P 500 since March, long volatility products can still boast quite spectacular returns year-to-date. The short-term futures index stands with a gain of 146% for the year so far, while the mid-term futures index is up 96%.

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