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Is Implied Volatility Seasonal?

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Given that the S&P 500 Implied Volatility Index (VIX) has been extremely low for the early part of the year, we thought that it might be interesting to look into whether or not equity market IV has witnessed seasonality in the past. That is, has VIX historically seen selling and then buying in specific times of the year? Has “fear” tended to enter and leave the market according to seasons?

Tom starts out by talking about the seasonality that has historically been in the Japanese Yen market, and asking whether or not they think this trait carries over to implied volatility. The results, since 2004, showed that VIX rises and falls randomly throughout the year, and it does not move according to any seasonal schedule. Also, the range for VIX has been fairly similar from month to month. Check out the segment above for more details.

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