A Volatility Storm is Brewing

posted in: S&P 500 | 0

Since the beginning of the year realized volatility in the S&P 500 has dropped ~60% as the leading U.S. equity index experiences its longest streak of days without a 1%+ move in two years:


SPY (Daily)



20-day rolling average true range has declined ~60% since February as equities have continued their low volatility grind higher. Implied volatility also remains relatively subdued with the VIX not budging above 17 for the last 3 months.



One thing is for sure, low volatility market environments plant the seeds for periods of higher volatility. There could be a trading opportunity approaching for nimble options traders as July has a history of volatility spikes and it’s difficult to imagine the current relatively placid market environment lasting too much longer given the candescent macro-market landscape:



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