Volatility Highest Since 2013 Start

Equities

With 3 trading days behind us we can already consider this week the most volatile since the start of 2013 so far. Monday range on S&P500 was 2.51%, more than triple the average range of all 39 trading days since the start of 2013 (0.82%) and also much wider than the average daily range in 2012 (1.06%).

S&P500

5-day average true range got to 1.40%, about the same level where this indicator was after the volatile start of this year.

Average True Range (ATR) Calculator

The widest daily percentage range in 2013 so far was 2.54% on the very first trading day on 2 January. It was followed by 20 consecutive trading days of sub-1% range (18 of them were below 0.80%).

5-day historical volatility of S&P500 got above 20% for the first time since the first week of 2013.

Historical Volatility Calculator

Spot VIX

Spot VIX, which measures implied volatility of S&P500 options going 30 days forward, significantly improved its 2013 high on Monday, as equities were falling. The highest 2013 VIX close is now 18.99. The highest intraday VIX value is 19.28, reached shortly before Monday close.

As equities were recovering on Tuesday and particularly Wednesday, the VIX returned to the levels we saw at the end of the previous week.

VIX (CBOE Volatility Index)

VIX Futures Curve

The near term VIX futures contract months (March – May) became almost equally priced around 17.60 at Monday close, all at a discount to spot VIX. On Tuesday and Wednesday the VIX futures curve returned to where it ended the previous week, still in sharp contango, although not as steep as in the weeks before. The long end of the curve remains just below 20.

VIX futures curve

VVIX

The recently introduced VVIX index jumped above 95 on Monday. The index is the “VIX of VIX” – it measures implied volatility of VIX options in the same way as the VIX itself measures implied volatility of S&P500 options. Like the VIX itself, the VVIX then returned to the levels from the end of the previous week (low 80’s).

VVIX (VIX options implied volatility)