Volatility report
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Summary
The realized volatility estimators show an increasing trend over longer windows, indicating higher market fluctuations over time. The volatility risk premium has been consistently positive, suggesting that the market expects higher future volatility than what has been realized. The realized volatility z-score is negative, indicating that the current volatility is lower than the historical average. This suggests a relatively stable market environment in recent weeks.
Forecast
Given the upcoming economic events, such as the unemployment rate and non-farm payrolls, volatility might increase slightly as these reports can significantly impact market sentiment. The strategy leveraging the volatility risk premium may continue to benefit as long as the premium remains positive, indicating a market expectation of higher future volatility. However, the relatively low realized volatility z-score suggests that the actual market movements might remain subdued.
| Date | Upcoming event |
|---|---|
| Unemployment Rate (Aug) | |
| Non Farm Payrolls (Aug) | |
| ISM Services PMI (Aug) |
