Market Perspective

Volatility Pricing Indicates Market Expectations of a Rougher Ride Ahead

The nearly 4% pullback of the S&P 500® Index in early May was small by historical standards, but it was enough to push implied volatility to ...
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A Multidimensional Volatility Environment

Is implied volatility low? Like a circle that reveals itself to be a cylinder when you shift your perspective, it depends on how you look ...
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The Alternative to “There is No Alternative”

The S&P 500® Index returned a staggering 56.35% for the 12-month period ending March 31 while the Bloomberg Barclays U.S. Aggregate Bond Index (the Agg) returned ...
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A Closer Look at Bond Market Performance

After posting strong returns in 2019 and 2020, inflation concerns have driven the Bloomberg Barclays U.S. Aggregate Bond Index (the Agg) to a loss of ...
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Familiar Factors Present as the VIX® Nears Record Run

Despite new all-time highs for the S&P 500® Index in January, the Cboe® Volatility Index (the VIX®) remained above 20 throughout the month and extended its streak ...
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Will Volatility Risk Premium Remain Attractive in 2021?

Market conditions reflected an unusual mix of resilience and anxiety as 2020 came to a close. The equity market advanced in November and December despite ...
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Lower, not Low: An Examination of Recent Implied Volatility

Implied volatility levels plummeted in November. With election uncertainty in the rearview mirror and news of significant progress on COVID-19 vaccines, the Cboe® Volatility Index (the ...
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October 2020 Market Perspective

The presidential election has been a factor in volatility market dynamics for most of 2020. There have been three notable elements to the volatility environment ...
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September 2020 Market Perspective

Typically, presidential election years feature below-average equity market volatility. Volatility levels tend to decline from the first half to the second half of election years, ...
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August 2020 Market Perspective

August was a fascinating month for volatility statistics. The most surprising stat was that, after July’s record for the widest-ever positive spread between average implied ...
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