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- Our last report came just prior to a late-August spike in volatility; VIX rocketed up into the 40s as the market struggled to digest the threat of a material decline in Chinese growth rates. At the close last night, VIX (21.35) was up six points since our last report; the S&P 500 was down by 4%.
- Every one of our volatility measures is up, and all but two are above their trailing averages. Particularly elevated volatility has returned to our measures for equities in Hong Kong, Australia, and Europe, and to the oil market.With thin volumes evidence of a holding pattern in advance of today's FOMC, the U.S. market has returned to relative calm in the last few days. One suspects that even the voting members do not know what the result will be; the interest rate futures markets are indicating that hike in rates is just as likely as not.
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Our last report came just prior to a late-August spike in volatility; VIX rocketed up into the 40s as the market struggled to digest the threat of a material decline in Chinese growth rates. At the close last night, VIX (21.35) was up six points since our last report; the S&P 500 was down by 4%.
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Every one of our volatility measures is up, and all but two are above their trailing averages. Particularly elevated volatility has returned to our measures for equities in Hong Kong, Australia, and Europe, and to the oil market.
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• |
With thin volumes evidence of a holding pattern in advance of today's FOMC, the U.S. market has returned to relative calm in the last few days. One suspects that even the voting members do not know what the result will be; the interest rate futures markets are indicating that hike in rates is just as likely as not. |
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