Posted by: jhamon | September 17, 2009

MysteryHedgie: SPX Volatility Reaches a New Low

MysteryHedgie reflects on SPX volatility attaining a new low…

As 10 day realized volatility in the SPX reaches its lowest levels since before the financial crisis began in 2007 (see chart below), and some market participants begin to tidy up their positions prior to the Jewish holidays, the odds of a pause in the relentless uptrends in equities and in gold and the US$ downtrend (similar volatility characteristics in all three) increase. Event catalysts are not on the horizon imminently but complacency as measured by realized volatlity (as well as the VIX) looks sufficiently stretched to remind players of two-way price risk in a world of government intervention and 9.7% US unemployment.

SPX Volatility Reaches a New Low

SPX Volatility Reaches a New Low

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