Volatility report
Generated on
Summary
The realized volatility estimators show a general increase over longer windows, indicating rising market uncertainty. The Volatility Risk Premium has been decreasing, suggesting that the market is expecting less volatility compared to the past. The recent Z-scores are close to zero, implying that current volatility levels are near historical averages.
Forecast
Volatility is expected to remain stable or slightly decrease in the coming week, as indicated by the recent trend in the Volatility Risk Premium and Z-scores. This stability suggests that strategies leveraging the volatility risk premium may see reduced returns. However, any unexpected economic news could still lead to sudden volatility spikes.
| Date | Upcoming event |
|---|---|
| S&P Global Manufacturing PMI (Nov) | |
| Fed Chair Powell Speech | |
| Unemployment Rate (Nov) |
