Equities: implied volatility remains high despite elevated markets

Chart of the week

VIX, as a measure of implied (1)volatility in S&P 500 Index options, provides a rough approximation of how much investors are willing to pay for protection against extreme market shifts. A high VIX reading suggests investors are willing to pay more for protection.

Since declining sharply from its peak in March 2020, implied volatility has remained above its historical average of 20. When markets are calm, this reading tends to be lower.

Our analysis

This relatively high implied volatility is a sign that investors have not yet completely shrugged off concerns over potential agitation: despite markets already being elevated, they probably have more to go before euphoria strikes.


(1)Volatility: Statistical measure of the dispersion of returns for a given security or market index. In most cases, the higher the volatility, the riskier the security


See also: https://latribune.lazardfreresgestion.fr/en/us-household-net-debt-at-its-lowest-level-since-1991/


The opinion expressed above is dated 15th January 2021 and is liable to change.


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