More on the Ridiculously Low VIX Handle

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“Yesterday we touched on the implications relating to regime changes in the volatility space.  The phenomenon currently in the US is similar in Europe where European equity volatility trading has been trading marginally below the VIX.  This is displayed in the chart below from Cheuvreux’s recent Cross Asset Research paper from the 7th of January – The Tactical Message:

mt The Change in the Volatility Regime   Part 2

“The VStoxx index of implied volatility has followed the American example by falling to a cycle-low. The increase in America’s political-fiscal risk premium since September has allowed indices of European equity volatility to trade marginally below the VIX.” – source Cheuvreux Cross Asset Research, 7th of January 2013.

Cheuvreux makes the argument that the decline in financial volatility is a general phenomenon, with the lead coming from debt markets. Further, they argue that there is more to it than financial repression….”

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More on the Ridiculously Low VIX Handle

39 views

“Yesterday we touched on the implications relating to regime changes in the volatility space.  The phenomenon currently in the US is similar in Europe where European equity volatility trading has been trading marginally below the VIX.  This is displayed in the chart below from Cheuvreux’s recent Cross Asset Research paper from the 7th of January – The Tactical Message:

mt The Change in the Volatility Regime   Part 2

“The VStoxx index of implied volatility has followed the American example by falling to a cycle-low. The increase in America’s political-fiscal risk premium since September has allowed indices of European equity volatility to trade marginally below the VIX.” – source Cheuvreux Cross Asset Research, 7th of January 2013.

Cheuvreux makes the argument that the decline in financial volatility is a general phenomenon, with the lead coming from debt markets. Further, they argue that there is more to it than financial repression….”

Full article

Comments are closed.