S&P 500 at all-time highs, expected to make bigger moves ahead – Volatility report

Feb 6, 2024 at 8:39 am GMT- Stefanos Oikonomidis, Achilleas Georgolopoulos

• Volatility remains low across the FX spectrum with the exception of EUR/USD

• Gold volatility drops but silver remains at its midpoint; oil and Bitcoin set for small moves

• S&P 500 volatility rises significantly; remaining stock indices in calmer waters

Volatility in EUR/USD has jumped as the pair recorded a sizeable correction last week following some key data releases. The remaining currencies covered in this report, including the yen crosses, are expected by the market to record small price movements going forward.

In the commodities space, gold and oil implied volatility continues its downward move despite the decent weekly price changes recorded, especially in the latter. In contrast, silver volatility remains unchanged, near its 30-day midpoint.

Turning to risky assets and the volatility of most stock indices remains low except for the US 500 index. Its implied volatility has jumped to an extremely high level, possibly due to the repeated higher highs recorded amidst a possibly overextended rally.

In the meantime, the correction after the much-touted spot-Bitcoin ETF approval has probably run its course with implied volatility dropping quickly at the bottom of its 30-day volatility range.