Volatility Tracker Lifts All Boats
Volatility Tracker for April 26, 2009
As the equity rally stalled, implied volatility indexes rose across the board last week. [2] And given last week’s broad decline in IV indexes as well, we will watch for evidence of high correlation among these very different asset classes (oil, gold, currency, equity). Note also the divergence in short term IV indexes and the volatility futures term structures of the Nasdaq 100 and Russell 2000: while the former rose on the week, the latter actually declined slightly. [2,6]
Short-term S&P 500 Volatility Bias: Neutral
If it moves, we will track it.
Mon, Apr 27, 2009 | Jared Woodard
Bonus Trades, Volatility