Benign Payrolls Reaction Points to Lower Cross-Asset Volatility
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The slump in volatility across asset classes after Friday’s U.S. jobs report is suggestive of a benign environment where risk assets can push higher, according to some strategists.
The Cboe Volatility Index dropped 9% Friday close to pre-pandemic levels, while the ICE BofA MOVE Index -- a gauge of price swings in Treasuries -- slumped 8%. Similar measures for currency markets and junk bonds also declined, extending a trend which has seen the four cross-asset volatility gauges fall between 10% and 30% so far this quarter.