January 17, 2019

Is the Recent Low European Volatility an Anomaly?

Mark Shore

Mark Shore
Chief Research Officer/Shore Capital Research LLC

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In writing VSTOXX® Volatility index articles over the past 5 years, I’ve discussed the behavior of the index over time and the behavior during specific moments. 2017 and early 2018 was a moment of historically low volatility and begged the question, was the low European volatility an anomaly? 

If you are not familiar with the VSTOXX® Volatility index, it measures the implied volatility 30 days forward of EURO STOXX 50® index options and then annualizes the volatility. The index tends to rally when equities decline. The EURO STOXX 50® Index “represents the performance of the 50 largest companies in terms of free-float cap”  of up to 11 Eurozone countries. Futures and options are available for the VSTOXX® volatility index.

Unlike U.S. volatility that remained at the very bottom range for an unprecedented period in 2017, the VSTOXX® index gradually drifted lower in 2017 as it ended 2016 just over 18. From September 2017 to January 2018 READ MORE

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