“We Are Living In A Different World”: BofA Can’t Explain What Is Going On With Volatility

Jon Banking

With the VIX once again pummeled on Friday and set to open below 10 yet again, here are some statistics from Kyle Beard of Bloomsbury advisory: “The VIX has only traded below 10 41 times since 1993 (intra-day). 21 of those occurrences have taken place since May 1, 2017. When you consider there have been 6,179 trading days since 1993, you realize how incredible this is.”
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However, it’s not just the VIX: as BofA’s David Woo points out, volatility across financial markets has collapsed in recent months:
The MOVE index, which measures interest rate volatility across the US yield curve, is hovering just above the 52 level that represents the trough of the index since 1988. Only in 2007 and 2013 was the index lower, and only barely. VIX has again dropped below 10. The only time it was lower since the inception of the index in 1990 was briefly in 1993. 3-month EUR/USD vol is now below 7. Since the inception of the euro, EUR/USD vol was only lower twice, in 2007 and 2014.

This post was published at Zero Hedge on Jul 17, 2017.