Quick Takes

December 2022 Volatility Briefing

By several measures, 2022 provided investors with one of the most volatile and challenging years in history. Ongoing assessment of whether Federal Reserve (Fed) policy …

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Elevated Volatility Increases Option Premiums

Higher implied volatility results in higher option premiums. Black-Scholes pricing model analysis of one-month at-the-money (ATM) S&P 500® Index call and put options utilized by …

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November 2022 Volatility Briefing

Implied volatility trended down as the market continued its rally in November. The Cboe® Volatility Index (the VIX®) ended October at 25.88, reached an intra-month …

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By One Measure, 2022 is the Third Most-Volatile Year

Growth in short-term S&P 500® Index options may be contributing to the high frequency of large one-day and intra-day market swings this year. Through October, …

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S&P 500® Index Option Volume Sets Record

Trading volume in S&P 500® Index option contracts set a record in October 2022. Trading volume in options on the bellwether equity index has been …

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October 2022 Volatility Briefing

Consistent with its pattern throughout 2022, implied volatility was consistently well-above average during October, reaching its highest monthly average since June 2020. Half of the …

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Q3 2022 Volatility Briefing

Consistent with its pattern in the first half of the year, third quarter implied volatility was consistently average to well-above average while remaining resistant to …

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If interest rates revert to pre-2000 levels, will valuations follow?

This year’s bear market has brought equity valuations lower, but are they low? The price-to-earnings ratio (P/E) of the S&P 500® Index began 2022 around …

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What Is Convexity Tail Hedging?

As discussed in our November Market Perspective, an increased frequency of low multi-year annualized returns and large drawdowns has reduced the effectiveness of long-term fixed income …

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Is Low Volatility Low Risk?

Increased volatility in 2020 associated with COVID-19 caused the standard deviation of the S&P 500® Low Volatility Total Return Index1 (the SPLVI) to climb to a higher …

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