Apr

6

One notes the following 100-day volatilities on Aug 4, 2007 and April 6, 2010:

Instrument    8/4/2007      4/6/2010

SPX             13%              13%
CrudeOil       27%              27%
Copper         28%              28%

US Bonds(1)  6%               10%

US Bonds(2)  4.4%             6.1%

Bunds          4.0%             4.7%

Dollar Index   6.0%             8%

It appears volatility in so-called "risk assets" has uniformly reverted to 2007 levels. However, volatility in so-called "riskless assets" has actually increased versus that earlier snapshot. Some of the bond volatility can be attributed to the  futures "roll" (due to a steep yield curve), however, the divergence is still noticeable.

One wonders if this anomaly is significant or predictive?

[Footnote: Crude, Copper, Bonds and Bunds use the first nearby futures contract. (1)=Ten Year Bond Contract. (2)=30 Year Bond Contract. SPX and and the Dollar Index are the cash indices. All data are from Bloomberg using their "Classical" vol model]


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