Editor's Note: Below is a brief excerpt from today's Early Look written by Macro analyst Ben Ryan. Click here to learn more about the Early Look.
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As we show in our Chart of the Day, relative volatility or “implied dispersion” in the S&P 500 Energy ETF (XLE) vs. SPY registers TTM and 3yr Z-Scores > -2.5x across the term structure of volatility. Even a 3Yr Z-score tells a short-term story, but the longer duration picture is the same which we show in the chart (5yr & 10yr). Not surprisingly with the performance flow through from rates-rising, the other S&P 500 sector with the widest downside dispersion right now is financials (XLF). |
