Sentences with phrase «market implied volatility»

Credit spreads historically have shown a close relationship with the VIX gauge of U.S. equity market implied volatility.

Credit spreads historically have shown a close relationship with the VIX gauge of U.S. equity market implied volatility.

According to Bloomberg data, the VIX Index, a proxy for U.S. equity market implied volatility, traded over 50 on Monday morning, the highest level since the financial crisis.

Not exact matches

The stock market opened way down, continuing last Friday's selloff, though it has climbed back since the open — implying the return of volatility — as skittish investors continue to fear the sequence I describe in this AM's WaPo: tight labor market, wage pressures, higher interest rates, inflation, lower profit margins.

The model is both objective, using elements such as volatility of past operating revenues, financial strength, and company cash flows, and subjective, including expected equities market returns, future interest rates, implied industry outlook and forecasted company earnings.

The chart below depicts realized stock market volatility and the VIX measure of expected volatility as implied by options.

The CBOE Volatility Index, known by its ticker symbol VIX, is a popular measure of the stock market's expectation of volatility implied by S&P 500 index options, calculated and published by the Chicago Board Options ExchanVolatility Index, known by its ticker symbol VIX, is a popular measure of the stock market's expectation of volatility implied by S&P 500 index options, calculated and published by the Chicago Board Options Exchanvolatility implied by S&P 500 index options, calculated and published by the Chicago Board Options Exchange (CBOE).

We caution you that these statements are not guarantees of future performance and are subject to numerous risks and uncertainties, including volatility in the economy and the credit markets, supply and demand changes for vacation ownership and residential products, competitive conditions; the availability of capital to finance growth, and other matters referred to under the heading «Risk Factors» contained in our Annual Report on 10 - K for the year ended December 30, 2011 filed with the U.S. Securities and Exchange Commission (the «SEC») and in subsequent SEC filings, any of which could cause actual results to differ materially from those expressed in or implied in this presentation.

Implied volatility came screaming off as the stock market rallied on Tuesday.

Do peaks in the S&P 500 Implied Volatility Index (VIX) signal positive abnormal U.S. stock market returns?

Furthermore, as the extirpation of wolves exposed policymakers to previously unanticipated macro risks, the suppression of known market volatility via term premium dampening also implies the next wave of risk contagion will likely come from unconventional sources beyond the current regulatory focus (similar to the lack of «dot - com euphoria» led some investors to see that there was no market excess prior to the GFC), and a «well sheltered» financial market would be ill - prepared to adapt.

Specifically, they relate spot West Texas Intermediate (WTI) crude oil price to: the U.S. dollar exchange rate versus a basket of developed market currencies; Dow Jones Industrial Average (DJIA) return; U.S. short - term interest rate; the S&P 500 options - implied volatility index (VIX); and, open interest in the NYMEX crude oil futures (as an indication of financialization of the oil market).

Does the U.S. stock market volatility risk premium (VRP), measured as the difference between the volatility implied by stock index option prices recent actual index volatility, usefully predict stock market returns?

Applied to the S&P 500 Index and the S&P 500 Implied Volatility Index (VIX), this alternative offers a longer sample period less dominated by the 2008 - 2009 equity market crash.

The implied volatility in options is fairly low here, but to the extent that actual market volatility comes in even lower, we would lose some portion of that 2 % through time decay that we could not recover through active management of the position.

Overall, implied volatilities of foreign exchange rates have exhibited a less clear trend than those observed in equity and fixed - interest markets.

In recent months, implied volatility in foreign exchange markets has remained at relatively elevated levels for some currencies, reflecting the large movements in currencies that have taken place.

As a matter of convention, the prices of options traded in over-the-counter markets are quoted in terms of the option implied volatility rather than in monetary units.

These divergences in monetary policy between the Fed and the BoE on the one hand and the ECB and BoJ on the other imply probable further volatility in the currency, fixed income and equity markets.

This stands in contrast to equity and fixed - interest markets where implied volatilities are close to their historical lows (see Box A).

In this box we use the implied volatility of options [1] to contrast fixed - interest and equity markets, where implied volatility has declined noticeably, with foreign exchange markets where volatility has not fallen as sharply.

While Canadian stocks appear modestly cheap and offer a compelling dividend yield, the market's higher sensitivity to natural resource prices implies there may be heightened volatility ahead.

Despite these developments, it is possible that the recent low level of realised volatility may have led markets to become a little complacent and hence the low implied volatility may not reflect future risks in these markets.

Composite Treasuries Sentiment: Taking a broader view of bond market sentiment (our composite bond market sentiment indicator combines the signal from futures positioning, fund flows, implied volatility, and global bond market breadth), it's readily apparent that bond market sentiment has seen a reset from relatively stretched bearishness to just on the bullish side of neutral (i.e. the indicator is saying participants have gone from expecting higher bond yields to expecting lower bond yields).

The recent levels of implied volatilities for the three major overseas equity markets are low, but not unprecedented.

While the early - 2017 Federal Reserve minutes «expressed concern [about] the low level of implied volatility in equity markets,» it is worth noting that the SPX implied volatility levels at both 80 % and 90 % moneyness (corresponding with out - of - the - money puts used for portfolio protection) generally were much higher than the VIX levels.

This metric measures the implied or expected volatility in the stock market (as reflected in S&P 500 options) over the next 30 days, and is one of the main indicators used by traders today of market volatility.

We caution you that these statements are not guarantees of future performance and are subject to numerous risks and uncertainties, including volatility in the economy and the credit markets, supply and demand changes for vacation ownership and residential products, competitive conditions; the availability of capital to finance growth, and other matters referred to under the heading «Risk Factors» contained in the Information Statement filed as an exhibit to our Annual Report on Form 10 - K for the year ended December 30, 2011 filed with the U.S. Securities and Exchange Commission (the «SEC») and in subsequent SEC filings, any of which could cause actual results to differ materially from those expressed in or implied in this presentation.

Chicago Board Options Exchange Volatility Index (VIX) reflects a market estimate of future volatility, based on the weighted average of the implied volatilities for a wide range oVolatility Index (VIX) reflects a market estimate of future volatility, based on the weighted average of the implied volatilities for a wide range ovolatility, based on the weighted average of the implied volatilities for a wide range of strikes.

On the one hand, declining bond market activity and the persistence of low - risk arbitrage opportunities imply liquidity is impaired, while, on the other, low volatility and high demand for risky assets suggest that liquidity is alive and well.

It is well - known that implied volatility exhibits a strong, negative correlation with equity markets and often spikes up during market turmoil.

The implied volatility from a currency option is a measure of the variability that the market sees in future movements in the exchange rate over the life of the option contract.

The company cautions you that these statements are not guarantees of future performance and are subject to numerous risks and uncertainties, including volatility in the economy and the credit markets, supply and demand changes for vacation ownership and residential products, competitive conditions; the availability of capital to finance growth, and other matters referred to under the heading «Risk Factors» contained in the company's most recent Annual Report on Form 10 - K filed with the U.S Securities and Exchange Commission (the «SEC») and in subsequent SEC filings, any of which could cause actual results to differ materially from those expressed in or implied in this press release.

In their September 2017 paper entitled «Aggregate Implied Volatility Spread and Stock Market Returns», Bing Han and Gang Li test aggregate implied volatility spread as a U.S. stock market return preImplied Volatility Spread and Stock Market Returns», Bing Han and Gang Li test aggregate implied volatility spread as a U.S. stock market return Volatility Spread and Stock Market Returns», Bing Han and Gang Li test aggregate implied volatility spread as a U.S. stock market return predMarket Returns», Bing Han and Gang Li test aggregate implied volatility spread as a U.S. stock market return preimplied volatility spread as a U.S. stock market return volatility spread as a U.S. stock market return predmarket return predictor.

Equity Markets: The S&P 500 implied volatility...

As their name implies, minimum volatility funds are explicitly designed to help mitigate the impact of market gyrations through a focus on less volatile securities.

A much higher implied volatility value tells me the market is predicting large swings.

Implied volatility is the markets estimate of how much an underlying security will move over a specific period of time on an annualized basis.

The forward market for 1 - year implied volatility doesn't exist in any deep way, so the insurance company decides that it will have to take its chances, and assume that volatility will mean revert over longer periods of time.

Bond yield spreads are very highly correlated with the implied volatilities of stocks, and the yield spreads on bond indexes are highly correlated with the implied volatility on broad market equity indexes, like the VIX.

Equity markets have rallied, and implied volatilities and corporate bond spreads have fallen.

In the first half of 2017, equity markets across the world were characterized by low volatility, both in realized terms and in implied measures such as VIX ®.

Implied Volatility: If the market becomes volatile, or if volatility is expected, implied volatility will rise, thereby increasing options Implied Volatility: If the market becomes volatile, or if volatility is expected, implied volatility will rise, thereby increasing optioVolatility: If the market becomes volatile, or if volatility is expected, implied volatility will rise, thereby increasing optiovolatility is expected, implied volatility will rise, thereby increasing options implied volatility will rise, thereby increasing optiovolatility will rise, thereby increasing options prices.

Throughout the first half of 2017, there have been two seemingly contradictory trends playing out in market volatility: low levels of implied volatility and profitability of selling option premium.

In short, we are well hedged against the potential for significant market losses, but with the implied volatility on index options fairly low, we've used shorter - term market fluctuations to modify our hedges in a way that better allows for any extension of the market's advance.

As VIX is an index for implied volatility (or expected volatility), in bull markets (markets moving up) it tends to move down, and in bear markets (markets moving down) it tends to move up.

The U.S. stock market's complete lack of volatility before this correction implies that the current correction will not turn into a bear market.

The sustainability of such a regime does not necessarily imply markets will return to the unusually low volatility levels seen in 2017.

You could take several college courses in market volatility and learn about standard deviation and implied vs. historical vs. relative volatility, but to trade on Nadex, you just need to know what volatility looks like in the movement of the price.

Do peaks in the S&P 500 Implied Volatility Index (VIX) signal positive abnormal U.S. stock market returns?