S&P Dow Jones Indices Market Attributes: Risk & Volatility May 2015

The S&P 500 has returned to its winning ways, setting new highs on three of the five days immediately prior to this report. Calm has returned to the U.S. volatility markets and the VIX remained in the range 12-16 throughout the period since our last report, closing last night at 12.88.

Beyond the VIX, shorter and longer term measures of S&P 500 implied volatility are depressed; each well below its trailing average and even below trailing realized volatility in the case of the 1-week time horizon measured by the CBOE Short-Term Volatility Index. Volatility of volatility (the VVIX) declined to its lowest level since July 2014.

Oil has played the role of the "joker" in recent times, importing geopolitical and energy risk into the equity and credit markets with great effect. However, the price of energy has stabilized and the CBOE Oil ETF Volatility Index has returned to ground. Last week the index fell below 30 for the first time since November 2014; it remains close to that recent low.