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After spending the majority of the first quarter in the high teens, the VIX® Index returned to ground in April, closing last night at 12.84 and down over 3 points versus our last report. The VIX futures curve has steepened in response.
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Nearly all of the implied volatility indices included in our dashboard are also down since one month ago. The exception is the HSI Volatility Index, which has elevated considerably in response to a high level of realized volatility in China and increasing concerns over the degree of leverage common among retail investors in the region.
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The overall picture of risk portrayed in implied volatility is currently quite balanced. Slightly more than half of the indices are at levels below their 200-day average, with both oil and currency volatilities remaining relatively high but seemingly on their way down. |
