CHART OF THE DAY: Implied Volatility Discounts (And Factual Realities)

That point is emphasized because it’s exactly what we’ve seen the last two weeks after a very rare environment from a hedging cost and volatility surface perspective. As we show in the Chart of the Day, the U.S. equity market vehicles that:

1. Corrected the most in October
2. Were most volatile in October (see percentile readings on the far right side of the chart)
3. And have bounced the most from the lows
4. Have the deepest Implied Volatility DISCOUNTS

Here’s What We Know For Sure about the future vs. past comparison gleaned from the widening implied volatility DISCOUNTS:

A growing “implied volatility DISCOUNT” is rate-of-change proof that the market is increasingly putting October’s volatility environment in the rearview.