Volatility May Be Due to Increase Significantly Starting Today

ng.investing.com/analysis/volatility-may-be-due-to-increase-significantly-starting-today-207472

By Michael Kramer | Dec 04, 2024 05:51

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USD/JPY

-0.74%

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US500

+0.23%

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VIX

-0.70%

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US10Y...

-1.66%

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10-year rates increased yesterday by roughly four bps to close at 4.23% following a stronger-than-expected JOLTS report.

The report overlooked healthy, in my view, with the layoffs in October lower and the number of quits moving higher.

One would think that if people quit their jobs, they have found a better one. today, we will get ADP at 8:15 AM ET and ISM services at 10 AM. Of course, who can forget that we will get Jay Powell today at 1:40 PM ET?

Of course, you would never know that Powell was speaking today in a Q&A session with a VIX 1Day at 8.3, but hey, this a market with no worries.

If I had to guess, by the time Powell speaks today, the VIX 1Day will be in the mid-teens, and by the time we get to Thursday’s close, it will be in the low 20s, ahead of the job report. So, this little period of tranquility is probably passing for now.

VIX Index-Daily Chart

Of course, with the 10-day realized volatility at 5, all it will take is 31 bps or so in the S&P 500 to move realized volatility higher and a move greater than 75 bps to move the 20-day realized volatility higher.

Volatility is volatility, and so whether the market rises or falls, realized volatility is due to increase. The last time I realized volatility was this low was back in mid-July.

SPX Index Chart

The last time USD/JPY was at its current levels and strengthening was at the end of July and beginning of August, ahead of a jobs report.

USD/JPY-Daily Chart

And maybe implied volatility is due to go higher anyway. 1-month implied volatility for the USD/JPY has undoubtedly been rising, and it trades right along with the IV of the S&P 500. Right now, the two appear to be on separate paths.

So, I would guess that overall volatility is due to a rise from these current levels, and potentially by a lot.

USDJPY vs SPX Correlation

Anyway, I have nothing more to say.

But as my 10-year-old daughter told me on Sunday when boarding the Long Island Rail Road heading into Manhattan: “Mind The Gap, Dad.”

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Central Banks

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27.50%

May 20, 2025

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4.25%

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ECB

2.40%

Jun 05, 2025

FED

4.50%

Jun 18, 2025

SNB

0.25%

Jun 19, 2025

RBA

4.10%

May 20, 2025

BOC

2.75%

Jun 04, 2025

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3.50%

May 28, 2025

BOJ

0.50%

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CBR

21.00%

Jun 06, 2025

RBI

6.00%

Jun 06, 2025

PBOC

3.10%

BCB

14.75%

Jun 18, 2025

NSE 30	4,043.88	+15.78	+0.39%
NSE All Share	109,467.64	+408.31	+0.37%
US 30	42,194.0	+142.9	+0.34%
US 500	5,906.3	+13.7	+0.23%
FTSE 100	8,630.93	+45.92	+0.53%
DAX	23,680.47	+153.46	+0.65%
South Africa Top 40	84,795.92	-119.55	-0.14%

Brent Oil	64.49	-1.60	-2.42%
Crude Oil WTI	61.60	-1.55	-2.45%
Gold	3,221.59	+33.29	+1.04%
Silver	32.675	+0.231	+0.71%
Copper	4.6875	+0.0370	+0.80%
London Cocoa	7,087.00	-222.00	-3.04%
London Wheat	156.30	-0.25	-0.16%

Nigeria 10Y	19.839	0.000	0.00%
Nigeria 2Y	27.974	0.000	0.00%
U.K. 10Y	4.7040	+0.0430	+0.92%
Germany 10Y	2.6195	-0.0065	-0.25%
U.S. 10Y	4.453	-0.075	-1.66%
U.S. 5Y	4.082	-0.080	-1.92%
U.S. 2Y	3.984	-0.069	-1.70%

Fidelitybk	21.000	0.000	0.00%
Zenith Bank	48.50	0.00	0.00%
UBA	34.90	-0.05	-0.14%
First HoldCo	24.85	0.00	0.00%
Guaranty Trust Holding	68.55	-0.05	-0.07%
Sterling Bank	5.800	-0.200	-3.33%
Dangote Cement	440.00	0.00	0.00%

Volatility May Be Due to Increase Significantly Starting Today

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