Equity Volatility Wagers Jump to High Versus Gold, Oil
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U.S. equity option costs climbed to the highest levels in almost a year relative to Treasuries, oil and gold, pushed up by traders betting stocks are more vulnerable to Federal Reserve tapering after rallying the most.
Implied volatility on the SPDR S&P 500 ETF Trust is 18 percent higher than for the iShares 20+ Year Treasury Bond ETF, according to three-month data compiled by Bloomberg. That’s close to the biggest premium since August 2010 and higher than 90 percent of the time in the past two years. The measure of price swings in the equity fund this month reached the most since November 2008 relative to the U.S. Oil Fund LP and a 10-month high versus the SPDR Gold Shares.