Market Measures

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Implied Volatility: Magnitude of Direction

Market Measures

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In today’s segment, the team was curious to see if implied volatility in different underlyings saw differing magnitudes (in percentage terms) when rising or falling.

The team analyzed implied volatility data for 8 different underlyings:

  • S&P 500 (VIX)
  • Nasdaq-100 (VXN)
  • Dow Jones (VXD)
  • Russell 2000 (RVX)
  • Oil (OVX)
  • Gold (GVZ)
  • Silver (VXSLV)
  • Gold Miners (VXGDX)

The team looked at 30 day moves in each volatility product and subdivided between up and down moves in volatility.

From here, they took averages and also 5 number summaries of both the up moves and down moves of each underlying volatility.

What jumped out to the team was the difference between the equity indices and the commodities. While commodities tend to trade with higher implied volatility levels, it appears that equity index volatility rises and falls with higher magnitudes than commodities.

Tune in for all the metrics and Tom and Tony’s takeaways.

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