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- The Fed may have lost patience; it has not replaced it with urgency. A new phrasing of the FOMC's attitude and outlook yesterday primed the market for a rise in rates during 2015 but - via the anticipated rates paths - indicated that such rise should not be expected until September or October.
- Markets worldwide were cheered by the relatively dovish news from the Fed; the VIX tumbled down to settle just below 14 at yesterday’s close while interest rate volatility gained slightly.
- Currencies have continued to take a prominent place in the headlines and each of our currency volatility indices remains elevated. The largest gainer among all our implied volatility measures since the last report was the CBOE/CME FX GBP Volatility index, which closed yesterday at over double trailing realized volatility for the past year.
- The range-traded nature of the S&P 500's recent performance proved favourable to the CBOE S&P 500 Buywrite index, which outperformed its vanilla equivalent by 1.2% over the period.
