Download this month's dashboard
- A significant majority of our volatility measures are up since our last report. Four weeks ago the VIX® reached its lowest level for 2015, closing at 12.11. It closed last night at 14.50. The VIX is not particularly high at present (it remains below its 200-day average), but it is trending up.
- Above all else, the situation regarding Greece has pre-occupied markets in the past few weeks. With large payments due this month and with many viewing a failure in negotiations as less catastrophic than it might have been at the outset of the crisis, the political balance of pressures has changed along with the potential outcomes. European equity volatility is up considerably in consequence, recording its highest levels so far this year at time of writing.
- Year to date, our best-performing investable volatility index was the S&P Daily Inverse Short-Term VIX Index. That an index selling VIX futures should perform so well is partly due to the high volatility levels at the turn of the year but also, and more importantly, due of the steep contango in VIX futures prevalent during the period - a sign that 2015 has not been as bad for U.S. equities as many had supposed.