S&P500 volatility changed to Nasdaqcomposite volatility as benchmark for dollar denominated equity volatility. Nasdaqvolatility is leading changes in S&P500 volatility on a number of occasions in the last 40 years that is the reason for the change. Just like S&P500 it has been moving upward in the last weeks. Treasury volatility moving close to historic lows and opposite to equity volatility in the last weeks. Uncertainty about Fed rate hike cycle might be somewhat less than a month ago and might contribute to lower treasury volatility. Both volatilities are always scaled to yearly volatilities for comparison.

2015-11-19

 

 

 

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