“Global asset markets continue to be in deep REM sleep,” Daryl Jones, Hedgeye Director of Research wrote in today’s Morning Newsletter. “U.S. equity volatility is literally at an all-time low and well below the 20-year mean of 20.05.”.
As we recently highlighted in our Q3 Macro Themes presentation, volatility has been at generational lows across asset allocations and continues to tick lower. U.S. equity volatility is literally at an all-time low and well below the 20-year mean of 20.05. Fixed income volatility is also literally at an all-time low and the current reading is 54.03, which is in the 1.5% percentile versus the long run mean of 99. And JPM Global foreign exchange volatility index is at 5.45 versus the long run mean of 10.6. We see the risk increasing the more you push the ball under water.
In today’s poll we asked: Is volatility ($VIX) going to wake up or stay asleep through Labor Day?
At the time of this post, 59% voted that the VIX will stay asleep through Labor Day, 41% believe it will wake up.