Of course, with the 10-day realized volatility at 5, all it will take is 31 bps or so in the S&P 500 to move realized volatility higher and a move greater than 75 bps to move the 20-day realized volatility higher. Volatility is volatility, and so whether the market rises or falls, realized volatility is due to increase. The last time I realized volatility was this low was back in mid-July.
The last time USDJPY was at its current levels and strengthening was at the end of July and beginning of August, ahead of a jobs report.
And maybe implied volatility is due to go higher anyway. 1-month implied volatility for the USDJPY has undoubtedly been rising, and it trades right along with the IV of the S&P 500. Right now, the two appear to be on separate paths.So, I would guess that overall volatility is due to a rise from these current levels, and potentially by a lot.
Anyway, I have nothing more to say.But as my 10-year-old daughter told me on Sunday when boarding the Long Island Rail Road heading into Manhattan: “Mind The Gap, Dad.”More By This Author:The Yen Is Screaming Risk-Off And The Stock Market Isn’t Pay Attention
The Market Is Running At An Extreme Maximum
The Japanese Yen Is Flashing A Major Warning To Global Markets
