Quick Takes

An Update on VRP

January 2024 Volatility Briefing The equity market climbed to all-time highs in January while the Cboe® Volatility Index (the VIX®) ascended from the 2023 low ...
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October 2023 Volatility Briefing

From the January 1, 1990 inception of the Cboe® Volatility Index (the VIX®) to November 17, 2023, the popular measure of implied volatility has averaged ...
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September 2023 Volatility Briefing

Inversions are for stunt men, not yield curves The Cboe® Volatility Index (the VIX®) is a measure of the market forecast of the likely price ...
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August 2023 Volatility Briefing

Implied volatility, as measured by the Cboe® Volatility Index (the VIX®), averaged 15.85 in August. Consistent with its typical relationship, average implied volatility exceeded realized ...
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July 2023 Volatility Briefing

Implied volatility, as measured by the Cboe® Volatility Index (the VIX®), averaged 13.93 in July. Consistent with its typical relationship, average implied volatility exceeded realized ...
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June 2023 Volatility Briefing

Implied volatility levels declined during the second quarter, primarily during the month of June, as measured by the Cboe® Volatility Index (the VIX®), averaging 16.44. ...
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April 2023 Volatility Briefing

With the recent seizure and sale of First Republic Bank, it is clear that there is still some pain in the banking industry simmering beneath ...
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March 2023 Volatility Briefing

If there was ever a true statement, it would be that change is constant. In 2020, after years of easy money, strong equity markets and ...
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How Far?

A question that we find ourselves asking more and more as 2023 continues to unfold, is how far…? How far can a market fall, or ...
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February 2023 Volatility Briefing

Implied volatility, as measured by the Cboe® Volatility Index (the VIX®), averaged 20.06 in February. Consistent with its typical relationship, average implied volatility exceeded realized ...
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