The recent significant fall in implicit volatilities means that long dated volatilities (1 year) of most significant equity indices are now testing the frontier level between the post-crisis lows and the ultra low regime of 2004-2007.
Implicit 1 year volatility for the S and P500 (SPX) – source Bloomberg:
Could it be an attractive entry point or more simply a clear indication of regime change? We have to agree with our-good cross-asset friend that we have a hard time believing in the regime change when taking into account the fundamental macro picture. Could it simply be the broader impact of financial repression? One has to wonder….”
If you enjoy the content at iBankCoin, please follow us on Twitter
