Volatility Measures Now Go Post-Election
As the chart below shows, the VIX is back above 21. Why is it elevated again?
Remember, the VIX is the implied volatility of at-the-money S&P 500 options that expire in 30 days.
Today, Monday, we are finally within 30 days of the election. So, going forward, the VIX is pricing in post-election volatility.
The bond market’s MOVE Index measures the implied volatility of Treasury options expiring in 30 days (the average of 2-year to 30-year on-the-run options).
So, the same idea as above applies. This measure is now reflecting expectations of post-election volatility.
However, the MOVE is not elevated like the VIX above. Why? We would interpret this to mean that, while the VIX is pricing in a bit of a thrill ride post-election, the bond market is not expecting a panicky risk-off rally.
I equip E&Fs, Family Offices, and Pensions with the Total Portfolio Approach
1 个月Vix spot will probably not drop much between now and the election so one currently gets paid via positive roll yield to be long vol with little risk of a collapse until election uncertainty settles. Post-election, the term structure does feel elevated