Little happened in volatility. The nearest mover was the MOVE/VIX ratio, from 5.59 to 4.80. Eighth of eight asset classes today. Implied vol complex moved at 2.7× its usual pace, stress concentration at 2.4×, and vol risk premium at 1.8×.
2.7× its usual move
The VIX/VIX6M term ratio went from 0.82 to 0.93, its biggest move since October 16. VIX moved from -87.0% to -32.0%.
2.4× its usual move
The MOVE/VIX ratio went from 5.59 to 4.80. Vol complex co-movement went from +0.32 to +0.37.
1.8× its usual move
The equity vol premium moved from +214.2% to +311.7%. Rate realized vol moved from +84.9% to +83.9%.
No fresh reading in this group. The OFR stress index (vol leg) went from 0.42 to 0.15.
Descriptive research, not investment advice