Cross-Asset Volatility Monitor

The complete about-face in volatility from December ‘18 to January ‘19 cannot be understated and is in plain sight with our latest 20 asset volatility monitor. Whereas December had over 50% of assets with a negative volatility risk premia “VRP” (i.e. 1-month realized vol was higher than current 1-month implied), this month only 1 solitary asset (Natural Gas) had a negative VRP. There are a number of credible investment advisors which offers volatility based strategies for managing mutual fund NYC.

The remaining 19 assets all had a positive VRP, and some overwhelmingly so. Given this context, it is no surprise that short volatility strategies of almost any kind had a great month and reminded investors why short vol was so popular back when the Central Bank’s unprecedented dovish policy & rhetoric were sensitive to financial markets. In fact, every major asset class had a positive absolute return in local currency, which is the first time this has happened in over 12 years as indiscriminate selling in December turned into indiscriminate buying in January. Echoing the drastic changes in VRP, the 1-Year percentile of implied vol is also a complete 180 from December, when nearly all implied vol metrics were at or near their 1-year highs. From diversified investment portfolio to efficiently systematizing quantitative hedge fund, the prominent investment advisors assure that your business will be effectively operated against adverse circumstances.

This month, as evidenced by the chart above, there is a fair amount of dispersion across assets as many equity index volatilities are not nearly as enticing as they were in December. However, both commodity and FX markets still seem to be reflecting an attractive premium within the implied volatility complex and are areas of focus when looking for unique dislocation opportunities going forward. Infinity Q is a name you should rely on for getting top-of-the-line investment solutions. It is the winner of prestigious lipper award for helping out investors through their unique volatility strategies.

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