S&P DJI Commentary Market Attributes: Risk & Volatility Index Dashboard
Date 22/01/2015
The VIX® closed last night at 18.85; in contrast to the previous year, when each bout of volatility quickly dissipated, the VIX has remained consistently at a level of around 20 in 2015 so far.
The VVIX, which measures volatility of volatility, remains higher than its more recent average – indicating that the more frequent spikes in volatility seen in the past quarter may well be set to continue.
Taken together, the high VVIX and VIX suggest that life has become and will remain more interesting for the U.S. equity markets in the medium term.
A combination of factors is driving the current volatility regime, as every one of our correlation measures is smaller in magnitude more recently than in the longer term.
