Little happened in volatility. The nearest mover was the oil vol premium, from +20.6% to +283.3%. Eighth of eight asset classes today. Vol risk premium moved at 4.3× its usual pace, stress concentration at 3.2×, and implied vol complex at 1.8×.
4.3× its usual move
The oil vol premium moved from +20.6% to +283.3%, its biggest move since August 5. Implied minus realized vol went from 6.92 to 5.40.
3.2× its usual move
Vol complex co-movement went from +0.33 to +0.39, its biggest move since July 31. The OVX/VIX ratio went from 3.72 to 3.40.
1.8× its usual move
The vol complex gauge went from 61.18 to 50.76. 7-10y implied vol (VXIEF) went from 8.11 to 6.72.
No fresh reading in this group. The OFR stress index (vol leg) sits at -0.23.
Descriptive research, not investment advice