Editor's Note: Below is a brief excerpt from today's Early Look written by CEO Keith McCullough. Click here to learn more about the Early Look.
On a multi-duration basis, our volatility report measures and maps:
A) Realized volatility across durations (both absolute and relative to past positioning)
B) Implied volatility across durations (both absolute and relative to past positioning)
C) Implied volatility DISCOUNTS vs. PREMIUMS
(Editor's Note: Implied volatility measures expected volatility implied by Wall Street options market positioning. Realized volatility is historical volatility. Implied volatility premiums or discounts show where Wall Street's future volatility expectations are relative to historical volatility. Premium = Implied above realized (i.e. fearful)... Discount = Implied below realized (i.e. calm).)
Reviewing last night’s volatility report, you’ll see that:
- The SP500 has seen its implied volatility PREMIUM (vs. 30-day realized) spike to +89%
- The Dow’s implied volatility PREMIUM on the same durations has ripped to +97%
- The Russell 2000’s implied volatility PREMIUM remains steadily high at 89%
The words “remains steadily high” mean that the Russell PREMIUM isn’t new and spikey like the Dow and SP500’s is. That’s mainly because the Russell’s price level has been weaker on both a relative and absolute basis since peaking in early OCT.
