The $VIX currently stands at 12.07, its lowest close since November 2019
Soruce: Charlie Bilello
Record Low: Equity/Bonds Volatility Ratio Hits Unprecedented Levels!
The divergence between two widely recognized measures of volatility, the VIX index for Equity and the MOVE index for Rates, continues to be stark. In the U.S., equity volatility has reached new lows for 2023, while volatility in U.S. Treasuries remains persistently high. Calculating the ratio between the VIX and MOVE indexes reveals a significant trend—the lowest point since 1994/1995! Anticipate dynamic shifts in 2024! 📈 #MarketTrends #VolatilityAnalysis #Outlook2024
Below the average 3-month ATM implied volatility (max/min range since 2008)
Source: TME, GS
Record-Low Volatility in the US Credit Market! 📉🌐
Amidst ongoing rate volatility (MOVE index) showing a persistent high, albeit with a decreasing trend over the past two months, the volatility in credit markets has taken a different turn. Currently, volatility in US Investment Grade (IG) corporate bonds has reached levels not seen since 2021, hovering close to record lows. Additionally, the volatility in US High Yield (HY) has experienced a significant drop in the past month. With low volatility and tight credit spreads, the question arises: Is there still room to extract excess returns from the US credit market in 2024? 🤔 Source: Bloomberg #CreditMarkets #Volatility #FinanceInsights
Since the VIX has so far failed to break above 20, we are now just shy of 100 sessions in which the VIX has closed below 20
The longest such stretch since October 2018 when, ironically, the market tumbled after the Fed realized it will need to be far more hawkish. Source: www.zerohedge.com
House ousts Kevin McCarthy as speaker, a first in U.S. history
This is likely to add to bond and equity markets volatility. OUR TAKE - This is a big event, at least politically. The House has no Speaker and business can be conducted until a new Speaker is installed. - There is a risk that this is an event for financial markets. The recent rise in bond yields is being driven by a lot of factors and political dysfunction is probably one of them. The US debt servicing cost has hit the inflection point for austerity at the same time basic governing is proving to be impossible. - More bond and equity markets volatility are likely Source: CNBC
Investors complacency in one chart
VIX has spent 92 sessions below 20, the longest streak since Covid, yet low implied vol regimes can last significantly longer. Source: Goldman Sachs
CBOE Volatility Index $VIX has closed under 19 for 64 consecutive trading days, the longest streak since early 2020
Source: Barchart
