Jared Woodard: I’m attaching a cross asset volatility monitor that allows you to compare price and volatility changes across equity, commodity, and currency markets. After Wednesday’s post-Fed rally, several things stand out in the realm of option implied volatility.^
Cross asset volatility monitor. Source: Condor Options
Emerging markets: the biggest percentage change in three month implied vol over the last week was in emerging markets, as investors took the “no taper” signal as a reason to cover emerging market shorts. EEM IV has room to fall a little further.
Developed markets: With the exception of the S&P 500 and Japan, all of the developed markets in this table have levels of implied volatility that can be regarded as inexpensive (at or below 20% 2Y ranks). As investors turn toward the political process as the next important risk scenario, hedges in the Dow Jones Industrials and the Nasdaq 100 look relatively attractive. Japan’s IV is near median levels.