This report provides an in-depth analysis of global equity index volatility, highlighting current dislocations using metrics like implied volatility, skew, and forward volatility.
Key Takeaways
- 1.Global equity indices are experiencing significant volatility moves and extreme dislocations, with NKY, KOSPI2, and TWSE exhibiting high levels of implied volatility.
Table of Contents
- Volatility Metrics
- Volatility Overview
- Global Index Volatility Overview
- Premium Monitor
- Volatility Ranking
- Volatility Rankings Summary
- Implied Volatility
- 25 Delta Skew
- Variance Swap
- Forward Volatility
- Rolldown
- Term Structure
- Variance Convexity
- Cross Index ATMF Implied Volatility Spread
- Cross Index Variance Spread
- Cross Index Forward Volatility Spread
- Cross Index Forward Variance Spread
- Key Charts and Tables
- Disclosures
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Authors
Twinkle Mehta, CFABram KaplanTony SK LeeDavide Silvestrini
Securities
SPXNDXNKY
Themes
Equity Index Volatility
Regions
GlobalNorth AmericaEuropeUnited StatesJapanGermany