Volatility report
Generated on
Summary
The realized volatility estimators show an increasing trend over longer windows, indicating that market fluctuations have been more pronounced over extended periods. The volatility risk premium has been consistently positive, suggesting that the market's expected volatility is higher than the actual realized volatility. The Z-score for realized volatility is negative, indicating that current volatility levels are below the historical average.
Forecast
Given the current economic data and upcoming events, volatility is expected to remain relatively stable with a slight upward trend due to potential market reactions. Strategies leveraging the volatility risk premium may continue to benefit as the premium remains positive, indicating a persistent gap between expected and realized volatility.
| Date | Upcoming event |
|---|---|
| Continuing Jobless Claims (Oct/11) | |
| S&P Global Manufacturing PMI (Oct) | |
| Michigan Consumer Sentiment (Oct) |
