Volatility report
Generated on
Summary
The realized volatility across different estimators and time windows shows a general increase with longer windows, indicating more stability over time. The Volatility Risk Premium has been consistently positive, suggesting that the market's expected volatility (VIX) is higher than the realized volatility. The negative Z-scores for realized volatility indicate that current volatility is below average, which aligns with the positive risk premium. This suggests a relatively calm market environment.
Forecast
Given the current economic data, including stable inflation and retail sales figures, volatility is expected to remain low in the short term. The strategy leveraging the Volatility Risk Premium should continue to benefit as long as the realized volatility remains below market expectations. However, any unexpected economic events could increase volatility.
| Date | Upcoming event |
|---|---|
| Retail Sales MoM (Dec) | |
| Michigan Consumer Sentiment (Jan) | |
| GDP Growth Rate QoQ (Q3) |
