S&P Dow Jones Risk & Volatility Index Dashboard - July 2016

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Calm has returned: VIX closed at 11.77, its lowest level for over a year.

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Along with VIX, nearly every volatility measure is down since our last report. The greatest falls were in short term U.S. equity volatility and in British pound sterling volatility.

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With the fall in volatility, VIX futures have moved into steep contango. The 11% difference between the August and September futures suggests that longer-term futures may prove more efficient hedges in the short term.