A Subtle Turn in Implied Volatility as Realized Volatility Craters
Since the post-BREXIT volatility spike (which lasted for two trading sessions) a funny thing has happened, volatility has completely collapsed. The Russell 2000 is on streak of 13 trading sessions within a ~2% trading range with several trading sessions seeing less than a 1% daily range:
IWM (Daily) with realized volatility (above) and implied volatility (below)
While realized volatility (as measured by rolling 7-day average true range) has made fresh lows, implied volatility appears to have bottomed and slowly begun turning higher. Could this presage a breakdown from the current narrow trading range?
Only time will tell but one thing is for certain, we have been witnessing an exceptional streak of low volatility for equities; according to Ryan Detrick the S&P 500 has traded in a range of 0.92% for the past 11 days, which is the tightest range going back to at least 1970.
DISCLAIMER: The work included in this article is based on current events, technical charts, and the author’s opinions. It may contain errors, and you shouldn’t make any investment decision based solely on what you read here. This publication contains forward-looking statements, including but not limited to comments regarding predictions and projections. Forward-looking statements address future events and conditions and therefore involve inherent risks and uncertainties. Actual results may differ materially from those currently anticipated in such statements. The views expressed in this publication and on the EnergyandGold website do not necessarily reflect the views of Energy and Gold Publishing LTD, publisher ofEnergyandGold.com. This publication is provided for informational and entertainment purposes only and is not a recommendation to buy or sell any security. Always thoroughly do your own due diligence and talk to a licensed investment adviser prior to making any investment decisions. Junior resource companies can easily lose 100% of their value so read company profiles on www.SEDAR.comfor important risk disclosures. It’s your money and your responsibility.