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- In the last four weeks, another Greek crisis has come and been duly kicked down the road for a few more months; meanwhile the popping sounds emanating from China’s equity markets appear to have been nipped in the bud by the local authorities.
- The VIX briefly visited the twenties in response to a Greek “Oxi” at the referendum, before rapidly declining back to close last night at an intensely relaxed 12.12.
- With the exception of gold and oil, volatility everywhere is down - including notably our measures for Hong Kong and Europe. Apart from in Canada, volatility is low on an absolute basis, too; implied volatility in every equity market is below its trailing 200-day average.
- Correlations between the U.S. and European equity markets have continued to inch down, and the dollar’s significance to the S&P 500 has also attenuated further. With each of Japanese yen, pound sterling, euro, U.S. Treasury bond and interest rate volatility also down, a broadly favourable risk outlook is telegraphed by this month’s dashboard.