Despite recent market action, the realized volatility across asset classes is still sub-dued, albeit in some cases moving towards neutral readings. For details checkout the report Realized Volatility.
Market participants rushed to purchase protection, with VIX soaring to above 18 from below 13 a few days ago. What is the impact of this increase on the Variance Risk Premium? Result – not massive – the implied volatility rose pretty much in line with the realized.
The Variance Risk Premium for S&P 500 has surged ahead of the Fed-meeting. The cost of protection has increased without an increase in the realized volatility. For details see the report Variance Risk Premium.
The Variance Risk Premium for S&P 500 is fast approaching the “Worry” zone. For details check the report Variance Risk Premium.
The realized volatility across many asset classes stays low. For details check the report Realized Volatility.