Average 3-month ATM implied volatility (max/min range since 2008)
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CBOE Volatility Index $VIX jumps to highest level in more than 2 months
Source: Barchart
The volatility index, $VIX, is up 14% to kick off the first trading day of 2024. This puts the $VIX on track for its biggest daily jump since October 13th
Source: The Kobeissi Letter
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
Some investors are worried about VIX index being too low, i.e markets are too complacent
The chart below is a good reminder that a "low VIX" is a normal part of bull markets. Investors seem to always forget this. Source: Mark Ungewitter, Ryan Detrick
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
