S&P DJI Commentary Market Attributes: Risk & Volatility Index Dashboard

• The traditional “Santa Claus Rally” in equities faced a crude interruption this month as chaos in the energy markets accompanied a total collapse in the Russian Rouble.
• The VIX closed last night at 19.4, helped on its way down (from Tuesday’s high of 24) by the measured and patient comments issued yesterday by the U.S. Federal Reserve.
• Credit markets, which somewhat ignored November’s recovery in equities, continue to price in a more elevated risk environment.  The S&P U.S. High Yield CDS hit its highest level this year on Tuesday (352bps); it remains up 22.5 bps up since this time last month.

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