Volatility report
Generated on
Summary
The realized volatility estimators show a generally increasing trend over longer windows, indicating rising market uncertainty. The volatility risk premium has been consistently positive, suggesting that the market is pricing in more risk than the realized volatility indicates. The realized volatility z-score remains negative, pointing to lower-than-average volatility levels historically. This suggests that while the market anticipates volatility, actual movements have been relatively subdued.
Forecast
Given the positive volatility risk premium and negative z-score, the market may continue to overestimate risk, providing opportunities for strategies that leverage this premium. However, upcoming economic events could introduce volatility spikes. The overall trend suggests a stable to slightly increasing volatility environment.
| Date | Upcoming event |
|---|---|
| GDP Growth Rate QoQ (Q3) | |
| S&P Global Manufacturing PMI (Jan) | |
| Michigan Consumer Sentiment (Jan) |
