Week in Volatility
While stock and volatility indexes remained choppy most of the week, VIX took a beating on Friday, declining from already technical low of 17.50 to 16.00. I am sure that part of the decline is to be explained by lowered trading activity around holidays and non-trading days (VIX is calculated in calendar days, making it low biased) however that does not explain the whole story - for example VSTOXX that has similar calculation and holidays actually rose on Friday. So I will do some cross-asset comparison: GVZ - gold volatility also dropped on Friday to a new low, MOVE index that is tracking interest rate volatility is at 1-year high, JPMVXYG7 index that tracks implied volatility of G7 currency options is somewhere in between its 1-year high and low. My forecasts (and my trading positions) are for VIX to increase in price.
Subscribe to:
Post Comments (Atom)
Weekly market report
Wall st delivered a mixed bag of news with VIX, VNKY, and VSTOXX and their underlying markets almost unchanged. VXD - volatility index based...
-
As I am sure all of you know Russia has began a full scale war against my home country Ukraine. Please make no mistake - Putin's goal ...
-
Wall st delivered a mixed bag of news with VIX, VNKY, and VSTOXX and their underlying markets almost unchanged. VXD - volatility index based... -
Many investors are looking at VIX and VSTOXX indexes as a leading indicators of volatility in equity markets, however many are confused by t...
No comments:
Post a Comment