This week volatility grabbed the headlines as many wondered where it is and whether–gasp–is it dead?
On Friday, the VIX closed at 12.44, down 5.54%.
Here’s a look at some volatility stories from this week.
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Is the VIX in a deep sleep??After the VIX hit a low of 12.13 on Tuesday and ?on Wednesday, it napped at 12.16 (Wednesday’s close was 12.17). Figures are below its long-term average of 20 and the last time the VIX was so sleepy (heading below 12) was August 2013. Brendan Conway writes that it’s interesting as this comes on a market that has sent risk-loving market areas, such as smallcap stocks, and the biotechnology sector, on a volatile ride. He adds, “No fear, no matter: Investors aren?t willing to pay up for the options contracts whose prices drive the volatility index.”?Barron’s: Volatility Index Yawns, Stretches, Hits Snooze, Heads for Sub-12
- Or, did volatility die? On Wednesday, the VIX fell to its lowest level since the start of the year as it closed at 12.17. This is down 43% from its February 21.44 high. Sans a few spikes, the VIX has stayed around 14 this year.Nicholas Colas, chief market strategist at New York brokerage ConvergEx Group, posed these questions in a research note this week, ?It is time to ask the question that dares not speak its name (at least on options desks): are we witnessing the death of volatility??Wall Street Journal:?Morning MoneyBeat: The Death of Volatility?
- Perhaps low volatility is here to stay: So says Goldman Sachs.?On Thursday, the VIX “jumped” to 11% to 13.53, but even with it, volatility is at relatively mild levels–a situation expected to continue for the near future, says Goldman Sachs.The firm’s Dominic Wilson and Julian Richers wrote ?in a note: ”
The tentative US recovery we have had is now over five years old ? the time when, in previous recoveries, equity volatility in particular has begun to shift higher. But a central part of our forecasts is that we have more ?room to grow? than in previous expansions, given the depth of the downturn and the sluggishness of the expansion so far. The key risk to the view that volatility will stay low is that this assumption is wrong.” MarketWatch:?
Low stock volatility here to stay for a while: Goldman Sachs
- Sure, the VIX is low but contrary to many beliefs, the VIX is not broken. Here’s a few reasons why. Volatility Analytics:?The VIX Is Not Broken, Contrary To Popular Belief
- Dear Long-Term Investor: Shut out the volatility noise. Here’s a few thoughts on the current volatility picture. Fisher Investments:?Musings on Volatility
- Volatility Views 111: Volatility Trading: This episode has Euan Sinclair, trader at Bluefin Trading and author of Volatility Trading and Option Trading, as our guest.?
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