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Larry Shover CME Daily "Options Volatility Report" - Tuesday 2/19/13
Автор: larry shover
Загружено: 20 февр. 2013 г.
Просмотров: 17 просмотров
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Quite a divergence with CME asset class volatilities last week. On one hand, you have S/P 500 volatility dropping to 5-year lows. On the other, gold volatility spikes 2 points on the week, while GBP 1-month volatility trades in the 80th percentile and JPY 1-month trades in the 96th percentile. Strange how the VIX is trading at a first percentile low, while the same skew has ratcheted up to the 40th percentile.
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