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Market Updates

February 19, 2021

Volatility – A Year Later

As the CBOE Volatility Index®, or VIX® Index, approaches the one-year mark of closing above 40, Portfolio Manager Stacey Gilbert provides a follow-up to last year’s Volatility: The Bumpy Road to Normal and highlights what we believe is an attractive opportunity for Volatility Risk Premium (VRP) strategies. In this edition of Charts and Chatter, Stacey assesses current volatility expectations given the macro environment and the possibility of continued volatility spikes throughout the year. She highlights the historical tendencies of volatility  to cluster in high and low volatility regimes and the available Volatility Risk Premium (VRP) throughout these periods. She notes how starting levels can be a factor in asset allocation decisions and the unique nature of the current high volatility regime coinciding with new all-time closing highs in broader equity markets.