Below is a chart and brief excerpt from today's Early Look written by Director of Research Daryl Jones.
|
More practically as we head into 2022, it is worth reviewing the current implied volatility premium of the equity markets. As the Chart of the Day below shows, we have built up IVOL discounts across equity sectors. In other words, the so called "Santa Claus Rally" to end the year has led to some complacency sneaking into the market. Interestingly, the only major U.S. equity sector with an IVOL Premium is Healthcare. On the other hand, CFTC futures positioning is not really extreme at all at the moment. If there is one call out, it may be that positioning in commodities is by and large, shorter across the board. Importantly though, investors aren't short of commodities. They just happen to be much less long than they have been in the last year. |
