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Volatile environment

Historically, the volatility of #Bonds, #equities and #currencies have had synchronized moves to a certain degree. When markets perceive risk, the three volatility indexes go up, sometimes vertically, and in unison, expressing investor’s fear. This time, however, bond volatility (MOVE) and Currency volatility (JPMVXY) have spiked but Equty volatility has been lagging. If VIX where to catch up with the other two vol indices, it will be at 80, a level not seen since the breakout of Covid-19. If credit spreads, the other important fear indicator, keeps going up due to recession worries, the VIX should catch up to the other two. If however, the #fed gives an indication that they have inflation under control, or they pivot to a more dovish look, MOVE and JPMVXY should decrease to more normal levels.


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Source: Bloomberg



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